In 2004, the Basel Committee on Banking Supervision defined Operational Risk (OR) as the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. After publication of the new capital accord containing this dfinition, statistical properties...

The 2008 credit crisis came as a complete surprise to most financial practitioners and academics. As risk models had largely been unable to predict the crisis and its impact on volatilities and correlations, the usefulness of such models has been widely called into question. This paper proposes...