Copulae and operational risks
By L. Dalla Valle, Dean Fantazzini, Paolo Giudici. International Journal of Risk Assessment and Management, 2008
49 citations recorded by the source corpus.
The management of Operational Risks has always been difficult due to the high number of variables to work with and their complex multivariate distribution. A Copula is a statistic tool which has been recently used in finance and engineering to build flexible joint distributions in order to model a high number of variables. The goal of this paper is to propose its use to model Operational Risks, by showing its benefits with an empirical example.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/63d88a51924892602d691347cbc19adb3cf53dc5
How researchers see this paper
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In Economics and Econometrics
- Eike C. Brechmann
- Claudia Czado
- Sandra Paterlini
- Kjersti Aas
- Ulf Schepsmeier
- Lutz F. Gruber
- David Lopez-Paz
- Duc Khuong Nguyen
In Finance
- Eike C. Brechmann
- Claudia Czado
- Sandra Paterlini
- Kjersti Aas
- Ulf Schepsmeier
- Lutz F. Gruber
- Aleksey Min
- Dorota Kurowicka
In Management Science and Operations Research
Citations in the corpus
- Flexible dependence modeling of operational risk losses and its impact on total capital requirements (2014, background): “While most of the literature on dependence modeling of operational losses (see Dalla Valle et al. [2008] and Giacometti et al.”