Modeling and measuring multivariate operational risk with Lévy copulas

Simultaneous modelling of operational risks occurring in different event type/business line cells poses a serious challenge for operational risk quantification. Here we invoke the new concept of Lévy copulas to model the dependence structure of operational loss events. We explain the consequences of this dependence concept for frequencies and severities of operational risk in detail. For important examples of the L´evy copula and heavy-tailed GPD tail severities we derive first order approximations for multivariate operational VAR.