HIGHLIGHTS
- who: JEL C and collaborators from the Center for Mathematical Sciences, Technische Universität München, Germany have published the paper: Flexible dependence modeling of operational risk losses and its impact on total capital requirements, in the Journal: (JOURNAL)
- what: The authors aim at analyzing how much the risk capital estimate may change when modeling dependencies in multivariate settings. The authors propose a flexible approach that, inspired by the work take into account the uncertainty surrounding any such correlation estimates (particularly in periods of stress). The authors focus on the lower left and the upper . . .
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