The Correlation Problem in Operational Risk
Year of publication: |
2004-01-23
|
---|---|
Authors: | Frachot, Antoine ; Roncalli, Thierry ; Salomon, Eric |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | operational risk | LDA model | severity correlation | frequency correlation | aggregate loss correlation |
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