An application of capital allocation principles to operational risk

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RECERCAT Home > Universitat Rovira i Virgili > Departament d'Economia > Documents de treball del Departament d'Economia > View document

Use this identifier to quote or link this document: http://hdl.handle.net/2072/222201

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.available	2014-01-17T17:09:27Z
dc.date.created	2013-12-27
dc.date.issued	2013
dc.identifier.uri	http://hdl.handle.net/2072/222201
dc.format.extent	32 p.
dc.language.iso	eng
dc.publisher	Universitat Rovira i Virgili. Departament d'Economia
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
dc.title	An application of capital allocation principles to operational risk
dc.type	info:eu-repo/semantics/workingPaper
dc.subject.udc	65 - Gestió i organització. Administració i direcció d'empreses. Publicitat. Relacions públiques. Mitjans de comunicació de masses
dc.embargo.terms	cap
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

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