منابع مشابه
Multivariate Models for Operational Risk
In Böcker and Klüppelberg (2005) we presented a simple approximation of OpVaR of a single operational risk cell. The present paper derives approximations of similar quality and simplicity for the multivariate problem. Our approach is based on modelling of the dependence structure of different cells via the new concept of a Lévy copula. JEL Classifications: G18,G39.
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ژورنال
عنوان ژورنال: The Journal of Operational Risk
سال: 2015
ISSN: 1744-6740
DOI: 10.21314/jop.2015.155