Operational Risk Aggregation Based on Business Line Dependence: A Mutual Information Approach
Abstract
The dependencies between different business lines of banks have serious effects on the accuracy of operational risk estimation. Furthermore, the dependencies are far more complicated than simple linear correlation. While Pearson correlation coefficient is constructed based on the hypothesis of a linear association, the mutual information that measures all the information of a random variable contained in another random variable is a powerful...
Paper Details
Title
Operational Risk Aggregation Based on Business Line Dependence: A Mutual Information Approach
Published Date
Jan 1, 2016
Volume
2016
Pages
1 - 7
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