Multivariate Models for Operational Risk: A Copula Approach Using Extreme Value Theory and Poisson Shock Models

Авторы: Rachedi O., Fantazzini D.
Сборник: OPERATIONAL RISK TOWARD BASEL III: BEST PRACTICES AND ISSUES IN MODELING, MANAGEMENT, AND REGULATION
Год издания: 2011
Место издания: John Wiley & Sons, Inc
Первая страница: 197
Последняя страница: 216
DOI: 10.1002/9781118267066.ch10
Аннотация: The aggregation of event types (ETs) is a crucial step for operational risk management techniques. Basel II requires the computation of a 99.9% VaR for each ET, and their aggregation via a simple sum if the dependence among ETs is not specified. Such a procedure assumes perfect positive dependence and therefore involves the implementation of the most conservative aggregation model. We propose a methodology that uses extreme-value theory to model the loss severities, copulas to model their dependence, and a general Poisson shock model to capture the dependencies among ETs. We show that this approach allows the allocation of capital and hedge operational risk in a more efficient way than the standard approach. В© 2009 by John Wiley & Sons, Inc. All rights reserved.
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