Using a time series approach to correct serial correlation in operational risk capital calculation

Dominique Guegan () and Bertrand Hassani ()
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Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Bertrand Hassani: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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Keywords: time series; risk capital calculation (search for similar items in EconPapers)
Date: 2013
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Published in Journal of Operational Risk, 2013, 8 (3)

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01310545

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