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Aggregating Risk across Matrix Structured Loss Data: The Case of Operational Risk
Year Of Publication: 2007
Month Of Publication: October
Pages: 21
Download Count: 27
View Count: 2195
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 3-28-2010
Publisher: Administrator
We study the problem of evaluating the risky position involved in a matrix of random
losses with some given probabilistic structure. In the Basel II regulatory setup for
operational risk in banking, we analyse how interdependencies between individual loss
random variables within the matrix may influence different estimates for the minimum
capital charge required.
This document is published in Journal of Operational Risk (volume 3, number 2) Summer 2008, 29-
Embrechts, Paul Sign in to follow this author
Puccetti, Giovanni Sign in to follow this author
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