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)."