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Operational risk is the risk relative to monetary losses caused by failures of bank internal processes due to heterogeneous causes. A dynamical model including both spontaneous generation of losses an...
A Dynamical Model for Forecasting Operational Losses
Operational Risk Dynamical Systems Value at Risk
2010/10/21
A novel dynamical model for the study of operational risk in banks and suitable for the calculation of the Value at Risk (VaR) is proposed. The equation of motion takes into account the interactions a...