7 citations · 9 across the 4 of their papers we have counts for
5 papers
Modelling Extremal Dependence for Operational Risk by a Bipartite Graph
Oliver Kley, Claudia Klüppelberg, Sandra Paterlini
We introduce a statistical model for operational losses based on heavy-tailed distributions and bipartite graphs, which captures the event type and business line structure of opera…
Conditional risk measures in a bipartite market structure
Oliver Kley, Claudia Klüppelberg, Gesine Reinert
In this paper we study the effect of network structure between agents and objects on measures for systemic risk. We model the influence of sharing large exogeneous losses to the fi…
Bounds for randomly shared risk of heavy-tailed loss factors
Oliver Kley, Claudia Kluppelberg
For a risk vector , whose components are shared among agents by some random mechanism, we obtain asymptotic lower and upper bounds for the individual agents' exposure risk and t…
Risk in a large claims insurance market with bipartite graph structure
Oliver Kley, Claudia Kluppelberg, Gesine Reinert
We model the influence of sharing large exogeneous losses to the reinsurance market by a bipartite graph. Using Pareto-tailed claims and multivariate regular variation we obtain as…
Systemic risk through contagion in a core-periphery structured banking network
Oliver Kley, Claudia Klüppelberg, Lukas Reichel
We contribute to the understanding of how systemic risk arises in a network of credit-interlinked agents. Motivated by empirical studies we formulate a network model which, despite…