The Correlation Problem in Operational Risk

By A. Frachot, Thierry Roncalli, E. Salomon. 2007

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Modelling and measuring multivariate operational risk with Lévy copulas (2008, background): “Aue & Kalkbrenner [1], Bee [2], or Frachot, Roncalli & Salomon [13], introducing coincident loss events by a common-shock model, see e.”
Multivariate models for operational risk (2010, methodology): “Keywords: Dependence model; Lévy copula; Multivariate dependence; Multivariate Lévy process; Operational risk; Pareto distribution; Regular variation; Subexponential distribution”
Determining operational capital at risk: an empirical application to the retail banking (2009, background): “This amount is therefore what is computed from a random number of loss events, N(i,j), with also random values, under the assumption that the Ln(i,j) are identically distributed, are independent of each other and, at the same time, independent of the frequency (Frachot et al., 2004).”
Quantitative models for operational risk: Extremes, dependence and aggregation (2006, background): “Note also that (16) coincides with the result obtained by Frachot et al. (2004). Finally, we would like to mention one particularly simple special case of superposition.”