Analytical Models of Operational Risk and New Results on the Correlation Problem

We propose a portfolio approach for operational risk quantification based on a class of analytical models from which we derive new results on the correlation problem. In particular, we show that uniform correlation is a robust assumption for measuring capital charges in these models

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Year of publication:	2014
Authors:	Brunel, Vivien
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Operationelles Risiko \| Operational risk \| Theorie \| Theory \| Basler Akkord \| Basel Accord \| Bank

Extent:	1 Online-Ressource (9 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 4, 2014 erstellt
Other identifiers:	10.2139/ssrn.2281340 [DOI]
Classification:	C19 - Econometric and Statistical Methods: General. Other ; C69 - Mathematical Methods and Programming. Other ; G18 - Government Policy and Regulation ; G21 - Banks; Other Depository Institutions; Mortgages
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013063672