Multivariate models for operational risk-Reference-Cited by-同舟云学术

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Multivariate models for operational risk

Published:2010-10 Issue:8 Volume:10 Page:855-869
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Böcker Klaus,Klüppelberg Claudia

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

http://www.tandfonline.com/doi/pdf/10.1080/14697680903358222

Reference20 articles.

1. Lévy Copulas: Dynamics and Transforms of Upsilon Type

2. Basel Committee on Banking Supervision,International Convergence of Capital Measurement and Capital Standards, 2004 (Basel Committee on Banking Supervision: Basel)

3. Regular Variation

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3. How to choose the dependence types in operational risk measurement? A method considering strength, sensitivity and simplicity;Journal of Operational Risk;2023

4. Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses;Journal of Industrial and Management Optimization;2023

5. Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model;Journal of Industrial & Management Optimization;2022

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