Operational risk and the Solvency II capital aggregation formula : implications of the hidden correlation assumptions
Year of publication: |
2016
|
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Authors: | Cifuentes, Arturo ; Charlin, Ventura |
Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 11.2016, 4, p. 23-33
|
Subject: | operational risk (OR) | correlation | Solvency II (S2) standard formula (SF) | capital risk aggregation | diversification benefits | Risikomodell | Risk model | Theorie | Theory | Operationelles Risiko | Operational risk | Basler Akkord | Basel Accord | Risikomanagement | Risk management | Bankrisiko | Bank risk | Korrelation | Correlation |
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