Kühn, Reimer; Neu, Peter - In: Physica A: Statistical Mechanics and its Applications 322 (2003) C, pp. 650-666
A Value-at-Risk-based model is proposed to compute the adequate equity capital necessary to cover potential losses due to operational risks, such as human and system process failures, in banking organizations. Exploring the analogy to a lattice gas model from physics, correlations between...