Copulae and Operational Risks

International Journal of Risk Assessment and Management, Forthcoming

17 Pages Posted: 11 Nov 2006

See all articles by Luciana Dalla Valle

Luciana Dalla Valle

University of Milan - Department of Economics, Business and Statistics

Dean Fantazzini

Moscow School of Economics, Moscow State University; National Research University Higher School of Economics

Paolo Giudici

University of Pavia - Faculty of Economics

Abstract

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.

Keywords: Copula, Two-step estimation, Operational Risk, VaR, Expected Shortfall

JEL Classification: C13, C32, C51

Suggested Citation

Dalla Valle, Luciana and Fantazzini, Dean and Giudici, Paolo, Copulae and Operational Risks. International Journal of Risk Assessment and Management, Forthcoming. Available at SSRN: https://ssrn.com/abstract=944174

Luciana Dalla Valle

University of Milan - Department of Economics, Business and Statistics ( email )

Via Festa del Perdono, 7
Milan, 20122
Italy

Dean Fantazzini (Contact Author)

Moscow School of Economics, Moscow State University ( email )

GSP-2, Leninskie Gory
Moscow, 119992
Russia
+7 495 5105256 (Phone)
+7 495 5105267 (Fax)

HOME PAGE: https://sites.google.com/site/deanfantazzini/

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

HOME PAGE: http://www.hse.ru/org/persons/11532644

Paolo Giudici

University of Pavia - Faculty of Economics ( email )

Corso Strada Nuova, 65
27100 Pavia
Italy

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