Multivariate GP-VAR models for robust structural identification under operational variability
نویسندگان
چکیده
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: Probabilistic Engineering Mechanics
سال: 2020
ISSN: 0266-8920
DOI: 10.1016/j.probengmech.2020.103035