Abstract
Simultaneous modelling of operational risks occurring in different event type/business line cells poses the challenge for operational risk quantification. Invoking the new concept of Lévy copulas for dependence modelling yields simple approximations of high quality for multivariate operational VAR.
Volume
M–AS07–1
Page
1-8
Year
2007
Categories
Actuarial Applications and Methodologies
Enterprise Risk Management
Publications
Enterprise Risk Management Symposium Monograph
Documents
