, where both output price and production cost are stochastic processes, and add a novel focus on how the correlation between … correlation between the processes, as it seeks a greater profitability variance which maximizes its value. …

operational risk (OR) capital. We show that the SF implicitly assumes that the correlation between OR and the other risks is very …. We also show that this formula, which somehow obscures the correlation assumptions, gives different insurance companies … correlation between OR and the other risks explicitly, it provides no incentive to gather data regarding this effect …

conditions for option implied correlation matrices to be mathematically and economically feasible and argues that existing models … a nearest correlation matrix problem which can be used either as a stand-alone estimate or to re-establish positive … risk factors (like CAPM, Fama-French) can be translated into a feasible implied correlation matrix. Empirical experiments …