Copulae and Operational Risks

The management of Operational Risks has always been difficult due to the high number of variables to work with and their complex multivariate distribution. A Copula is a statistic tool which has been recently used in finance and engineering to build flexible joint distributions in order to model a high number of variables. The goal of this paper is to propose its use to model Operational Risks, by showing its benefits with an empirical example

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Year of publication:	[2011]
Authors:	Dalla Valle, Luciana
Other Persons:	Fantazzini, Dean (contributor) ; Giudici, Paolo (contributor)
Publisher:	[2011]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (17 p)
Type of publication:	Book / Working Paper
Notes:	In: International Journal of Risk Assessment and Management, Forthcoming
Classification:	C13 - Estimation ; C32 - Time-Series Models ; C51 - Model Construction and Estimation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012756944