With the advent of Basel II, risk–capital provisions need to also account for operational risk. The specification of dependence structures and the assessment of their effects on aggregate risk–capital are still open issues in modeling operational risk. In this paper, we investigate the...

We show that the use of correlations for modeling dependencies may lead to counterintuitive behavior of risk measures, such as Value-at-Risk (VaR) and Expected Short- fall (ES), when the risk of very rare events is assessed via Monte-Carlo techniques. The phenomenon is demonstrated for mixture...

We show that the use of correlations for modeling dependencies may lead to counterintuitive behavior of risk measures, such as Value-at-Risk (VaR) and Expected Short- fall (ES), when the risk of very rare events is assessed via Monte-Carlo techniques. The phenomenon is demonstrated for mixture...

Abstract. We show that the use of correlations for modeling dependencies may lead to counterintuitive behavior of risk measures, such as Value-at-Risk (VaR) and Expected Short- fall (ES), when the risk of very rare events is assessed via Monte-Carlo techniques. The phenomenon is demonstrated for...

Abstract. We show that the use of correlations for modeling dependencies may lead to counterintuitive behavior of risk measures, such as Value-at-Risk (VaR) and Expected Short- fall (ES), when the risk of very rare events is assessed via Monte-Carlo techniques. The phenomenon is demonstrated for...

We show that the use of correlations for modeling dependencies may lead to counterintuitive behavior of risk measures, such as Value-at-Risk (VaR) and Expected Shortfall (ES), when the risk of very rare events is assessed via Monte-Carlo techniques. The phenomenon is demonstrated for mixture...

With the advent of Basel II, risk-capital provisions need to also account for operational risk. The specification of dependence structures and the assessment of their effects on aggregate risk-capital are still open issues in modeling operational risk. In this paper, we investigate the potential...

Being still in its early stages, operational risk modeling has, so far, mainly been concentrated on the marginal distributions of frequencies and severities within the context of the Loss Distribution Approach (LDA). A realistic quantitative model, however, should be capable of modeling the...