Operational risk capital charge is very sensitive to the modeling assumptions. In this paper, we consider a class of exactly solvable models of operational risk and we obtain new results on the correlation problem. In particular, we show that incorporating model risk for correlations decreases the bank's capital charge .
We propose a portfolio approach for operational risk quantification based on a class of analytical models from which we derive new results on the correlation problem. In particular, we show that uniform correlation is a robust assumption for measuring capital charges in these models .
R
Operational risk capital charge is very sensitive to the modeling assumptions. In this paper, we consider
We propose a portfolio approach for operational risk quantification based on
R
exactly solvable models of operational risk and we obtain
analytical models from which we derive
R
incorporating model risk for correlations decreases the bank's capital charge
uniform correlation is a robust assumption for measuring capital charges in these models