February 2007
Intermediate to advanced
280 pages
15h 37m
English
Content preview from Value at Risk and Bank Capital Management
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118 CHAPTER
♦
5 Operational Risk and Business Risk
ELs are already captured in internal business practices and have already been
accounted for.
1
•
Risk measures for different operational risk estimates must simply be added when
calculating MRCR for operational risk, with no diversifi cation benefi t; however,
the bank may be allowed to use internally determined correlations by the national
supervisor, provided the system for determining correlation is considered sound, is
conservative enough to refl ect correlation uncertainty in stress periods, and is
implemented with integrity.
•
Estimates should be derived by a proper combination of (1) int ...
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