Scaling in op risk data
Using an empirical data set from the ORX consortium, Andrea Colombo and Rocco Quartu, with the help of Dilip de Silva and Jamie Matthews, test the degree of heterogeneity of operational risk loss events among banks for various risk event types
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Under the new Basel Accord, financial institutions are required to allocate capital against the losses arising from operational risk. To quantify their operational risk exposure, banks not only need to analyse their internal losses but also to consider external data from the industry to overcome the lack/insufficiency of
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