Journal of Operational Risk
ISSN:
1744-6740 (print)
1755-2710 (online)
Editor-in-chief: Marcelo Cruz
Aggregating operational risk across matrix structured loss data
Paul Embrechts, Giovanni Puccetti
Abstract
ABSTRACT
We study the problem of evaluating the risky position involved in a matrix of random losses with some given probabilistic structure. In the Basel II regulatory setup for operational risk in banking, we analyze how interdependencies between individual loss random variables within the matrix may influence different estimates for the minimum capital charge required.
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