Browsing by Author "6c758bae-03e5-4414-a7f5-23b3a706ad6b"
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Cifuentes, Arturo; Charlín, Ventura (Incisive Media, 2016)We analyze the Solvency II standard formula (SF) for capital risk aggregation in relation to the treatment of operational risk (OR) capital. We show that the SF implicitly assumes that the correlation between OR and the ...