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Operational Risk Aggregation across Business Lines Based on Frequency Dependence and Loss Dependence
Year Of Publication: 2014
Month Of Publication: January
Pages: 15
Download Count: 7
View Count: 1470
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 1-21-2014
Publisher: Administrator
Summary
Based on the most comprehensive operational risk dataset of Chinese banking as far as we know, the operational risk capital charge of the overall Chinese banking is calculated by the two approaches. The results show that there is an obvious distinction between the capital calculated by modeling frequency dependence and the capital calculated by modeling loss dependence. The approach with very limited attention exactly yields a much larger capital result. So it is advised in this paper that banks shouldn’t just rely on the approach to modeling frequency dependence for it is natural and easy to deal with.A safer and more effective way for banks is to comprehensively take the results of the two kinds of approach into consideration.
Author(s)
Li, Jianping Sign in to follow this author
Zhu, Xiaoqian Sign in to follow this author
Chen, Jianming Sign in to follow this author
Gao, Lijun Sign in to follow this author
Feng, Jichuang Sign in to follow this author
Wu, Dengsheng Sign in to follow this author
Sun, Xiaolei Sign in to follow this author
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