Correlation and Arithmetic of Operational Risk Measurement Basing on Loss Distribution Approach
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F830.4

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    Abstract:

    Based on the principles of operational risk measurement provided by Basel II,the paper discusses the problem of operational risk correlations among different business lines / risk types.The correlation coefficients between the aggregate losses among different business lines / risk types are calculated.Copula arithmetic is put forward to compute correlation coefficients matrix of aggregate losses.Besides,the result is used to calculate the capital requirement of operational risk.

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张宏毅,陆静.基于损失分布模型的操作风险相关性及算法[J].重庆大学学报,2007,30(5):131~134

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  • Received:
  • Revised:January 10,2007
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