Aggregating risk across matrix structured loss data: the case of operational risk

Abstract
We study the problem of evaluating the risky position involved in a matrix of random losses with some given probabilistic structure. In the Basel II regulatory setup for operational risk in banking, we analyse how interdependencies between individual loss random variables within the matrix may influence different estimates for the minimum capital charge required.
Series
Working Paper
Editor
Applied Probability Trust
Year
2008
Categories
Operational Risk
Authors
Embrechts, Paul
Puccetti, Giovanni