 New results on the correlation problem in operational riskVivien Brunel ()
Journal of Financial Perspectives, 2014, vol. 2, issue 2, 123-129 Abstract: Internal models of operational risk are all built based on the same guidelines provided by the regulators. However, we observe a broad range of practices among banks concerning modeling choices and calibration methods. It is thus relevant to discuss the relative importance of the main drivers and modeling choices of the operational risk capital charge. Many studies in the literature have focused on the modeling of the tails in the severity distributions. In this paper, we use a class of analytical models for operational risk in order to assess the relative importance of all parameters of the model. In particular, we show that the bank’s capital charge is not very sensitive to the dispersion in correlations, the average level of correlations being a much more critical parameter of the operational risk capital charge. We show that the assumption of uniform correlations is robust, contrary to what is often advised by internal auditors or regulators. Keywords: risk (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ris:jofipe:0057 Access Statistics for this article Journal of Financial Perspectives is currently edited by Ms Alina Stefan More articles in Journal of Financial Perspectives from EY Global FS Institute 1 More London Place, London SE1 2AF, UK. |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.