Double correlation model for operational risk: Evidence from Chinese commercial banks

Volume: 516, Pages: 327 - 339
Published: Feb 1, 2019
Abstract
The Basel Accord requires commercial banks to meet a capital requirement for operational risk. Therefore, a reliable operational risk measurement is of great significance for financial institutions. In this paper, based on the framework of LDA, we propose a more appropriate model (Double Correlation model) in correlation structure construction, which considers both frequency correlation and mean severity correlation simultaneously. On this...
Paper Details
Title
Double correlation model for operational risk: Evidence from Chinese commercial banks
Published Date
Feb 1, 2019
Volume
516
Pages
327 - 339
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