英文标题：
《Operational risk modeled analytically II: the consequences of
classification invariance》
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作者：
Vivien Brunel
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最新提交年份：
2015
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英文摘要：
Most of the banks\' operational risk internal models are based on loss pooling in risk and business line categories. The parameters and outputs of operational risk models are sensitive to the pooling of the data and the choice of the risk classification. In a simple model, we establish the link between the number of risk cells and the model parameters by requiring invariance of the bank\'s loss distribution upon a change in classification. We provide details on the impact of this requirement on the domain of attraction of the loss distribution, on diversification effects and on cell risk correlations.
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中文摘要：
大多数银行的操作风险内部模型都基于风险和业务线类别的损失池。操作风险模型的参数和输出对数据汇集和风险分类的选择非常敏感。在一个简单的模型中，我们通过要求银行损失分布在分类发生变化时保持不变，建立了风险单元数量与模型参数之间的联系。我们详细介绍了这一要求对损失分布的吸引范围、多元化效应和单元风险相关性的影响。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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