Modelling and measuring multivariate operational risk with Lévy copulas

By K. Böcker, Claudia Klüppelberg. 2008

55 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/9f771f6ac5e9d514b304a66fc400d92535af735b

How researchers see this paper

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

In Demography

1. K. Böcker
2. Claudia Klüppelberg
3. Qihe Tang

In Economics and Econometrics

1. K. Böcker
2. Claudia Klüppelberg
3. Peter J. Brockwell
4. Qihe Tang
5. V. Todorov

In Management Science and Operations Research

1. Claudia Klüppelberg
2. K. Böcker
3. Qihe Tang
4. Paul Embrechts
5. Ludger Rüschendorf

Citations in the corpus

• Multivariate models for operational risk (2010, methodology): “3 in [7]), simple-sum VaR may even underestimate total OpVaR when severity data is heavy-tailed, which in practice it is, see e.”