Journal of Operational Risk

A simple model for pseudo-nonstationarity in operational risk loss data due to interest rate dependency and reporting threshold

Gerrit Arlt, Frank Neumann and Udo Milkau


Nonstationarity in operational risk loss data time series is a known effect, but has so far rarely been analyzed in detail. Taking transaction banking as a segregated object of study, a simple model presented in this paper, based on interest rate dependency and reporting threshold, can provide an explication for this pseudononstationarity in the last decade. Especially from the perspective of a business line, the separation of this effect can improve the monitoring of measures to reduce operational risk in an active management approach.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here