Operational Risk Aggregation Based on Business Line Dependence: A Mutual Information Approach
The dependencies between different business lines of banks have serious effects on the accuracy of operational risk estimation. Furthermore, the dependencies are far more complicated than simple linear correlation. While Pearson correlation coefficient is constructed based on the hypothesis of a lin...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2016-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2016/6546318 |
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