Journal of Operational Risk

Risk.net

Aggregating operational risk across matrix structured loss data

Paul Embrechts, Giovanni Puccetti

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 interdependencies between individual loss random variables within the matrix may influence different estimates for the minimum capital charge required.

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