Multivariate Operational Risk : Dependence Modelling with Lévy Copulas

@inproceedings{Boecker2007MultivariateOR,
  title={Multivariate Operational Risk : Dependence Modelling with L{\'e}vy Copulas},
  author={Klaus Boecker and Claudia Kl{\"u}ppelberg},
  year={2007}
}
Simultaneous modelling of operational risks occurring in different event type/business line cells poses the challenge for operational risk quantification. Invoking the new concept of Lévy copulas for dependence modelling yields simple approximations of high quality for multivariate operational VAR.