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Scaling operational loss data and its systemic risk implications

| Fri, 29 May 2015 14:41:36 +0100 | Risk Net

Digital encryption key

Failing to adopt a scaling methodology when including external data in operational risk calculations could lead to a distortion of capital charges and possibly systemic risk in a banking system relying on consortium data. Here, Roberto Torresetti and Claudio Nordio propose a scaling methodology to help overcome these shortcomings and compare the outcome with respect to alternative methodologies on a real operational data sample


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