Modeling and measuring multivariate operational risk with Lévy copulas

Böcker, Klaus; Klüppelberg, Claudia

doi:10.21314/jop.2008.043

Cited by 47 publications

(40 citation statements)

References 9 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…The algorithm is a two-stage based on scenario aggregation algorithm. We compare its performance with approach based on the ParetoLévy copulas [3].…”

Section: Operational Risk Modeling Involves Various Problemsmentioning

confidence: 99%

See 1 more Smart Citation

Modeling Correlations in Operational Risk

Karwański

Grzybowska

2018

Acta Phys. Pol. A

View full text Add to dashboard Cite

The key demand for banks' economic capital methodology is to ensure that the model covers all relevant sources of risk in the right way. Operational risk models treat the arising losses as stochastic variables. One of the problems encountered in modeling is the need of taking into account correlations between events. It is possible to build models for correlated events based on copula functions. But the problem is that the losses are related to isolated events and simple applications of copulas are not allowed. The authors present a new algorithm that shows a modied application of copulas to calculating operational risk. The calculations were done on real data that allows for examining the correlation impact on risk measurement. As an additional evaluation of the algorithm a reference model based on the ParetoLévy copulas was used.

show abstract

“…The algorithm is a two-stage based on scenario aggregation algorithm. We compare its performance with approach based on the ParetoLévy copulas [3].…”

Section: Operational Risk Modeling Involves Various Problemsmentioning

confidence: 99%

“…They allow for description of more complex dependences between variables than the Pearson correlation and can be implemented in the Monte Carlo framework used in LDA [15]. Therefore copulas have been frequently used to model dependences in operational risk [3,5,16,17]. …”

Section: Copulas and Their Applicationmentioning

confidence: 99%

Modeling Correlations in Operational Risk

Karwański

Grzybowska

2018

Acta Phys. Pol. A

View full text Add to dashboard Cite

show abstract

“…Copula models have been introduced to allow for modelling the dependence structure between ORCs. Böcker and Klüppelberg (2008) undertook the simultaneous modelling of operational risks occurring in different event type/business line cells. They found that this analysis posed serious challenges for operational risk quantification and they invoked Lévy copulas to model operational loss events dependence structures.…”

Section: Calculating Economic Capitalmentioning

confidence: 99%

A review of operational risk in banks and its role in the financial crisis

Jongh

et al. 2013

SAJEMS

View full text Add to dashboard Cite

The role of operational risk in the 2007/2008 financial crisis is explored. The factors that gave rise to the crisis are examined and it is found that although the event is largely regarded as a credit crisis, operational risk factors played a significant role in fuelling its duration and severity. It is concluded that, from an operational risk perspective, 2008 was the worst on record. Considering the extensive role of operational risk in global financial calamities, suggestions are made to improve the management of this risk type.

show abstract

“…Pueden existir varios tipos de dependencia en las celdas, y Böcker y Klüppelberg [32] realizan 1 Estos modelos son llamados así porque las colas de las distribuciones son muy pesadas y puede conllevar a estimación de cargos de capital absurdos mediante VaR. Bajo estos modelos, medidas como expected shortfall no tienen sentido.…”

Section: Cópula Como Método De Agregación De Riesgosunclassified

“…Para modelar dependencia entre frecuencia y severidad en las diferentes celdas, [32] usan la cópula Lévy. Para ello, asumen que el proceso de frecuencia sigue un proceso de Poisson homogéneo y todas las severidades son iid.…”

Section: Utilizan Datos De Un Banco (Del the 2004 Operational Risk Lounclassified

Construcción de la distribución de pérdidas y el problema de agregación de riesgo operativo bajo modelos LDA: una revisión

Valencia

2013

rev.ing.univ.Medellin

View full text Add to dashboard Cite

RESUMENEste artículo revisa la literatura más reciente en cuanto a la obtención de la distribución de pérdidas para riesgo operativo cuando se emplea el modelo de distribución de pérdidas agregadas (LDA, por sus siglas en inglés), y dependencia entre las líneas operativas. Cuando LDA es el método escogido para cuantificar riesgo operativo existen algunas cuestiones a resolver. Entre ellas está la obtención de la distribución de pérdidas, puesto que no existe una fórmula cerrada para obtenerla; sin embargo, existen métodos numéricos para resolver este problema. Finalmente, se presenta una revisión en cuanto a la obtención del riesgo operativo total de una entidad financiera, teniendo en cuenta la dependencia existente entre las diferentes líneas operativas.Palabras clave: enfoque de distribución de pérdidas agregadas, valor en riesgo, agregación, cópulas.

show abstract

Modeling and measuring multivariate operational risk with Lévy copulas

Cited by 47 publications

References 9 publications

Modeling Correlations in Operational Risk

Modeling Correlations in Operational Risk

A review of operational risk in banks and its role in the financial crisis

Construcción de la distribución de pérdidas y el problema de agregación de riesgo operativo bajo modelos LDA: una revisión

Contact Info

Product

Resources

About