Multivariate models for operational risk

Quantitative Finance

Volumn 10, Issue 8, 2010, Pages 855-869

  Böcker, Klaus ^a   Klüppelberg, Claudia ^b  

^a HypoVereinsbank   (Germany)

^b TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

Dependence model; L vy copula; Multivariate dependence; Multivariate L vy process; Operational risk; Pareto distribution; Regular variation; Subexponential distribution

Indexed keywords

EID: 77956741801     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680903358222     Document Type: Article

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