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Quants tout exposure-based approach to op risk modelling

Ebor is especially suited to modelling loss events such as legal claims, say proponents

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Operational risk modelling has long been viewed as something of an alchemic process, reliant to a greater or lesser degree on making sense of patterns in historical losses to predict future capital requirements. Now, a group of op risk experts is proposing an alternative quantification technique based instead on current exposures and event frequencies – an approach the experts say has longevity

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