An application of capital allocation principles to operational risk and the cost of fraud

作者：

Highlights：

• Allocation principles distribute cost across the units that generate operational risk.

• An application to fraud risk in the banking sector is presented.

• Choice of allocation principles and correlation scenarios are compared.

摘要

•Allocation principles distribute cost across the units that generate operational risk.•An application to fraud risk in the banking sector is presented.•Choice of allocation principles and correlation scenarios are compared.

论文关键词：Risk management,Quantile,Value at risk,Unexpected losses

论文评审过程：Available online 28 May 2014.

论文官网地址：https://doi.org/10.1016/j.eswa.2014.05.017