Copulae and Operational Risks
International Journal of Risk Assessment and Management, Forthcoming
17 Pages Posted: 11 Nov 2006
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: Suggested Citation