4Some detailed examples
The contents of this chapter are a commented expansion of the list of examples mentioned right after (1.1) in Chapter1. Even though the statements are variations on a common theme, it is nevertheless nice to see how seemingly different questions lead to similar mathematical problems.
4.1Claim distribution and operational risk losses
Even though the Basel II requirements for the calculation of regulatory capital were an important motivation for the calculation of the distribution of operational risk losses, the change in the new (as of 2016, see [92]) requirements has changed the motivation but not the need to tackle the problem. This is first because the problem is interesting in itself; second because it is also an important ...
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