Measuring Tail Operational Risk in Univariate and Multivariate Models with Extreme Losses

“This paper considers some univariate and multivariate #operationalrisk #models , in which the #loss severities are modeled by some weakly tail dependent and heavy-tailed positive random variables, and the loss frequency processes are some general counting processes. … The methodology is based on #capitalapproximation within the #baseliii framework (the so-called loss distribution approach).”