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Homeen-gbEstimating the correlation between operational risk loss categories over different time horizonsThe authors propose and demonstrate the value of a model with which mathematical techniques can be applied to analytically calculate means, variances and covariances more accurately than Monte Carlo simulations.
https://www.risk.net/journal-of-operational-risk/7958131/estimating-the-correlation-between-operational-risk-loss-categories-over-different-time-horizons
https://www.risk.net/journal-of-operational-risk/7958131/estimating-the-correlation-between-operational-risk-loss-categories-over-different-time-horizons
Tue, 31 Oct 2023 14:00:47 +0000