Multivariate models for operational risk

DOI10.1080/14697680903358222zbMath1204.91059OpenAlexW2131863035MaRDI QIDQ3063851

Klaus Böcker, Claudia Klüppelberg

Publication date: 15 December 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903358222

zbMATH Keywords

regular variationPareto distributionsubexponential distributionoperational riskLévy copulamultivariate Lévy processmultivariate dependencedependence model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (19)

Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return ⋮ Expected shortfall estimation for apparently infinite-mean models of operational risk ⋮ Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims ⋮ Bounds for randomly shared risk of heavy-tailed loss factors ⋮ A limit distribution of credit portfolio losses with low default probabilities ⋮ Lévy Copulas: Review of Recent Results ⋮ THEORETICAL SENSITIVITY ANALYSIS FOR QUANTITATIVE OPERATIONAL RISK MANAGEMENT ⋮ Tail behavior of discounted portfolio loss under upper tail comonotonicity ⋮ Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses ⋮ Operational Risk Management: A Stochastic Control Framework with Preventive and Corrective Controls ⋮ Asymptotic results for over-dispersed operational risk by using the asymptotic expansion method ⋮ Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation ⋮ The Pareto Copula, Aggregation of Risks, and the Emperor's Socks ⋮ Backward simulation of multivariate mixed Poisson processes ⋮ Operational risk quantified with spectral risk measures: a refined closed-form approximation ⋮ Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model ⋮ The first passage event for sums of dependent Lévy processes with applications to insurance risk ⋮ Construction and sampling of Archimedean and nested Archimedean Lévy copulas ⋮ Pareto Lévy Measures and Multivariate Regular Variation

Cites Work

• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Ruin estimation in multivariate models with Clayton dependence structure
• The Pareto Copula, Aggregation of Risks, and the Emperor's Socks

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