Analytical models of operational risk and new results on the correlation problem

Vivien Brunel

Papers from arXiv.org

Abstract: We propose a portfolio approach for operational risk quantification based on a class of analytical models from which we derive new results on the correlation problem. In particular, we show that uniform correlation is a robust assumption for measuring capital charges in these models.

Date: 2013-08, Revised 2014-05
New Economics Papers: this item is included in nep-cba
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