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Year of publication
Subject
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LDA model 1 aggregate loss correlation 1 frequency correlation 1 operational risk 1 severity correlation 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Frachot, Antoine 1 Roncalli, Thierry 1 Salomon, Eric 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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MPRA Paper 1
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RePEc 1
Showing 1 - 1 of 1
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The Correlation Problem in Operational Risk
Frachot, Antoine; Roncalli, Thierry; Salomon, Eric - Volkswirtschaftliche Fakultät, … - 2004
This paper demonstrates that aggregate losses are necessarily low as long as we remain under the standard assumptions of LDA models. Moreover empirical findings show that the correlation between two aggregate losses is typically below 5%, which opens a wide scope for large diversification...
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