Operational risk and the Solvency II capital aggregation formula : implications of the hidden correlation assumptions
Arturo Cifuentes and Ventura Charlin
| Year of publication: |
2016
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|---|---|
| Authors: | Cifuentes, Arturo ; Charlin, Ventura |
| Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 11.2016, 4, p. 23-33
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| Subject: | operational risk (OR) | correlation | Solvency II (S2) standard formula (SF) | capital risk aggregation | diversification benefits | Operationelles Risiko | Operational risk | Korrelation | Correlation | Theorie | Theory | Risikomanagement | Risk management | Basler Akkord | Basel Accord | EU-Versicherungsrecht | European insurance law | Risikomaß | Risk measure | Bankrisiko | Bank risk | Betriebliche Liquidität | Corporate liquidity | Versicherung | Insurance | Portfolio-Management | Portfolio selection | Risikomodell | Risk model | Aggregation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOP.2016.181 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013177176