The Operational Risk Advanced Measurement Approach requires financial institutions to use scenarios to model these risks and to evaluate the pertaining capital charges. Considering that a banking group is composed of numerous entities (branches and subsidiaries), and that each one of them is...

By sorting independent random variables and considering the difference between two consecutive order statistics, we get random variables, called steps or spacings, that are neither independent nor identically distributed. We characterize the probability distribution of the maximum value of these...