Chapter 8. Multivariate models

  1. Harry H. Panjer

Published Online: 6 MAR 2006

DOI: 10.1002/0470051310.ch8

Operational Risk: Modeling Analytics

Operational Risk: Modeling Analytics

How to Cite

Panjer, H. H. (2006) Multivariate models, in Operational Risk: Modeling Analytics, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/0470051310.ch8

Publication History

  1. Published Online: 6 MAR 2006
  2. Published Print: 25 AUG 2006

ISBN Information

Print ISBN: 9780471760894

Online ISBN: 9780470051313

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Keywords:

  • Frechet distribution;
  • Spearman's rho;
  • Kendall's tau;
  • independence copula;
  • Clayton copula

Summary

This chapter contains sections titled:

  • Introduction

  • Sklar's Theorem and Copulas

  • Measures of Dependency

  • Tail Dependence

  • Archimedean Copulas

  • Elliptical Copulas

  • Extreme Value Copulas

  • Archimax Copulas

  • Exercises