Multivariate models for operational risk

By K. Böcker, Claudia Klüppelberg. 2010

71 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/8033518f31b868abf36703839b821d2c005768c8

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Paul Embrechts
2. Claudia Klüppelberg
3. Ludger Rüschendorf
4. K. Böcker
5. Johana Nešlehová
6. Liang Peng
7. Sidney I. Resnick
8. Mario V. Wüthrich

In Management Science and Operations Research

1. Paul Embrechts
2. Claudia Klüppelberg
3. Ludger Rüschendorf
4. K. Böcker
5. Johana Nešlehová
6. Mario V. Wüthrich
7. G. Kuhn
8. Liang Peng

In Statistics and Probability

1. Paul Embrechts
2. Ludger Rüschendorf
3. Claudia Klüppelberg
4. K. Böcker
5. Johana Nešlehová
6. Mario V. Wüthrich
7. Sidney I. Resnick
8. Liang Peng

Citations in the corpus

• Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness (2009, background): “(2006) and Dutta and Perry (2007). TheMoscadelli paper relies heavily on extreme value theory (EVT) based modelling and also uses the tail conditional median as a risk measure.”
• Modelling and measuring multivariate operational risk with Lévy copulas (2008, methodology): “This result has been exploited already in B¨ocker & Kl¨uppelberg [ 7 ] and Bregman & Kl¨uppelberg [9] and it will prove useful to determine a bank’s total operational risk”
• The Pareto Copula, Aggregation of Risks and the Emperor's Socks (2008, background): “See Barndorff–Nielsen and Lindner (2006), Böcker and Klüppelberg (2006), Bregman and Klüppelberg (2005), Cont and Tankov (2004), and Kallsen and Tankov (2006).”
• Operational Risk Quantification Using Extreme Value Theory and Copulas: From Theory to Practice (2009, unknown): “This is in line with Böcker and Klüppelberg (2006) - see Figure 3.”
• Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case (2008, background): “Key words: asymptotic normality, dependence modelling, elliptical copula, elliptical distribution, regular variation, semi-parametric model, tail dependence function”
• Model uncertainty and VaR aggregation (2013, methodology): “The resulting approximation goes under the name the largest loss approximation and has been used in the Operational Risk literature; see for instance Böcker and Klüppelberg (2010).”