dc.contributor
Universitat Rovira i Virgili. Departament d'Economia
dc.contributor
Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública
dc.contributor.author
Urbina, Jilber
dc.contributor.author
Guillén, Montserrat
dc.date.accessioned
2014-01-17T17:09:27Z
dc.date.accessioned
2024-12-10T13:33:09Z
dc.date.available
2014-01-17T17:09:27Z
dc.date.available
2024-12-10T13:33:09Z
dc.date.created
2013-12-27
dc.identifier.uri
http://hdl.handle.net/2072/222201
dc.description.abstract
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
eng
dc.format.extent
32 p.
cat
dc.publisher
Universitat Rovira i Virgili. Departament d'Economia
cat
dc.relation.ispartofseries
Documents de treball del Departament d'Economia;2013-38
dc.rights
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/
dc.rights
info:eu-repo/semantics/openAccess
dc.source
RECERCAT (Dipòsit de la Recerca de Catalunya)
dc.subject.other
Gestió del risc
cat
dc.title
An application of capital allocation principles to operational risk
cat
dc.type
info:eu-repo/semantics/workingPaper
cat
