Mitic, Peter;
Hassani, Bertrand;
(2018)
Shapley allocation, diversification and services in operational risk.
Journal of Operational Risk
, 13
(1)
pp. 1-14.
10.21314/JOP.2018.205.
Preview |
Text (Article)
Shapley_allocation_diversification_and_services_in_operational_risk_online_early.pdf - Published Version Download (116kB) | Preview |
Preview |
Text (Appendices)
Shapley Allication Appendices.pdf - Accepted Version Download (124kB) | Preview |
Abstract
In this paper, a method of allocating operational risk regulatory capital using a closed-form Shapley method, applicable to a large number of business units (BUs), is proposed. It is assumed that if BUs form coalitions, the value added to a coalition by a new entrant is a simple function of the value of that entrant. This function represents the diversification that can be achieved by combining operational risk losses. Two such functions are considered. The calculations account for a service that further reduces the capital payable by BUs. The results derived are applied to recent loss data
| Type: | Article |
|---|---|
| Title: | Shapley allocation, diversification and services in operational risk |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.21314/JOP.2018.205 |
| Publisher version: | http://doi.org/10.21314/JOP.2018.205 |
| Language: | English |
| Additional information: | This version is the version of record. For information on re-use, please refer to the publisher’s terms and conditions. |
| Keywords: | Diversification, Operational risk, Shapley value, Original research |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10163503 |
Loading...
Loading...Loading...Loading...Archive Staff Only
 |
View Item |
