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• W2912672944 abstract "We introduce a statistical model for operational losses based on heavy-tailed distributions and bipartite graphs, which captures the event type and business line structure of operational risk data. The model explicitly takes into account the Pareto tails of losses and the heterogeneous dependence structures between them. We then derive estimators for individual as well as aggregated tail risk, measured in terms of Value-at-Risk and Conditional-Tail-Expectation for very high confidence levels, and provide also an asymptotically full capital allocation method. Estimation methods for such tail risk measures and capital allocations are also proposed and tested on simulated data. Finally, by having access to real-world operational risk losses from the Italian banking system, we show that even with a small number of observations, the proposed estimation methods produce reliable estimates, and that quantifying dependence by means of the empirical network has a big impact on estimates at both individual and aggregate level, as well as for capital allocations." @default.
• W2912672944 created "2019-02-21" @default.
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• W2912672944 date "2019-02-08" @default.
• W2912672944 modified "2023-09-27" @default.
• W2912672944 title "Modelling Extremal Dependence for Operational Risk by a Bipartite Graph" @default.
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• W2912672944 hasPublicationYear "2019" @default.
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