Multivariate VaRs for operational risk capital computation: a vine structure approach

Abstract : The Basel Advanced Measurement Approach requires financial institutions to compute capital requirements on internal data sets. In this paper we introduce a new methodology permitting capital requirements to be linked with operational risks. The data are arranged in a matrix of 56 cells. Constructing a vine architecture, which is a bivariate decomposition of a n-dimensional structure (n > 2), we present a novel approach to compute multivariate operational risk VaRs. We discuss multivariate results regarding the impact of the dependence structure on the one hand, and of LDF modeling on the other. Our method is simple to carry out, easy to interpret and complies with the new Basel Committee requirements.
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https://halshs.archives-ouvertes.fr/halshs-00645778
Contributeur : Dominique Guégan <>
Soumis le : lundi 28 novembre 2011 - 16:01:33
Dernière modification le : jeudi 4 octobre 2018 - 18:28:03

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Dominique Guegan, Bertrand Hassani. Multivariate VaRs for operational risk capital computation: a vine structure approach. International Journal of Risk Assessment and Management, Inderscience, 2013, 17 (2), pp.148-170. ⟨10.1504/IJRAM.2013.057104⟩. ⟨halshs-00645778⟩

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