Operational VAR: meaningful means

Klaus Böcker, Jacob Sprittulla
01 Dec 2006

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Our approach to quantifying operational risk belongs to the advanced measurement approaches of Basel II, which allow banks to use an internal model to determine operational risk capital charges. More precisely, we work within the framework of Böcker & Klüppelberg (2005) and adopt their definition of a standard loss distribution approach, in which aggregate operational loss S(t) up to time t is described by the stochastic process

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