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Title:
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An application of capital allocation principles to operational risk
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Author:
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Urbina, Jilber; Guillén, Montserrat
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Other authors:
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Universitat Rovira i Virgili. Departament d'Economia; Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública |
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Abstract:
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The cost of operational risk refers to the capital needed to a fford the loss generated
by ordinary activities of a firm. In this work we demonstrate how allocation principles
can be used to the subdivision of the aggregate capital so that the firm can
distribute this cost across its various constituents that generate operational risk.
Several capital allocation principles are revised. Proportional allocation allows to
calculate a relative risk premium to be charged to each unit. An example of fraud
risk in the banking sector is presented and some correlation scenarios between
business lines are compared.
Keywords: solvency, quantile, value at risk, copulas |
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Publication date:
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2013 |
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Subject (UDC):
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65 - Gestió i organització. Administració i direcció d'empreses. Publicitat. Relacions públiques. Mitjans de comunicació de masses |
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Subject(s):
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Gestió del risc |
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Rights:
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L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: http://creativecommons.org/licenses/by-nc-nd/3.0/es/
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Pages:
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32 p. |
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Document type:
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Working Paper |
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Published by:
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Universitat Rovira i Virgili. Departament d'Economia
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Collection:
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Documents de treball del Departament d'Economia;2013-38
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