Journal of Operational Risk

Risk.net

Operational risk class homogeneity

Fabio Piacenza, Daniele Ruspantini, Aldo Soprano

ABSTRACT

One of the most important requirements an advanced measurement approach model has to meet is that loss data are independent and identically distributed. In this paper a model for testing operational loss data homogeneity is presented. This model, based on cluster analysis, is applied to UniCredit operational loss data in order to test and compare the soundness of different choices for risk classes.

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