Description: In this Chapter we present a novel way for estimating aggregated EC figures based on Bayesian copula estimation. Contrary to the classic approach of using a single inter-risk- correlation matrix we derive a probability distribution of possible correlation matrices that enables us to tackle the important issue of parameter uncertainty. Presented at 2010 Enterprise Risk Management Symposium, Society of Actuaries, April 12-15, 2010.

Description: Simultaneous modelling of operational risks occurring in different event type/business line cells poses the challenge for operational risk quantification. Invoking the new concept of Levy copulas for dependence modelling yields simple approximations of high quality for multivariate operational VAR. From 2007 Enterprise Risk Management Symposium, M-AS07-1.

Description: This paper investigates the interaction between a credit portfolio and another risk type, which can be thought of as market risk. We analytically calculate their inter-risk correlation and show how inter-risk correlation bounds can be derived.