Multivariate VaRs for operational risk capital computation: a vine structure approach - HAL-SHS - Sciences de l'Homme et de la Société
Article Dans Une Revue International Journal of Risk Assessment and Management Année : 2013

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

Résumé

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.

Dates et versions

halshs-00645778 , version 1 (28-11-2011)

Identifiants

Citer

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