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 analyze how interde- pendencies between individual loss random variables within the matrix may influence different estimates for the minimum capital charge required.
Aggregating operational risk across matrix structured loss data / P. Embrechts, G. Puccetti. - In: THE JOURNAL OF OPERATIONAL RISK. - ISSN 1744-6740. - 3:2(2008), pp. 29-44.
Aggregating operational risk across matrix structured loss data
G. PuccettiUltimo
2008
Abstract
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 analyze how interde- pendencies between individual loss random variables within the matrix may influence different estimates for the minimum capital charge required.
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