Quantitative models for operational risk: Extremes, dependence and aggregation

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Modelling and measuring multivariate operational risk with Lévy copulas (2008, methodology): “For important examples of the Lévy copula and heavy-tailed GPD tail severities we derive first order approximations for multivariate operational VAR.”
Aggregating risk capital, with an application to operational risk (2006, background): “However, the bank may be permitted to use internally determined models to capture dependence in OR losses; see Chavez-Demoulin et al. (2005) for some advanced approaches to this task.”
Flexible dependence modeling of operational risk losses and its impact on total capital requirements (2014, methodology): “While the heavy tails in marginal distributions have already been extensively discussed in the literature (see for example Chavez-Demoulin et al. [2006] and Gourier et al. [2009]), appropriate zero-inflated dependence models for aggregate operational losses have, to our knowledge, not yet been propo”
Bayesian estimation of rainfall intensity-duration-frequency relationships (2015, background): “, 2010; Van de Vyver, 2015), and other environmental sciences and finance as well (Chavez-Demoulin et al., 2006; Van de Vyver, 2012).”
Multivariate extremes and the aggregation of dependent risks: examples and counter-examples (2009, unknown): “(2006), Chavez-Demoulin et al. (2006), Ibragimov and Walden (2007).”