W Pieters

Standard Bank Group Ltd.

30 Baker Street

Rosebank, Gauteng 2196

South Africa

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A Simulation Comparison of Aggregation Periods for Estimating Correlations within Operational Loss Data

Journal of Operational Risk, Vol. 11, No. 2, 2016
Number of pages: 18 Posted: 02 Jul 2016
Kevin Panman, L Haasbroek and W Pieters
North-West University, North-West University and Standard Bank Group Ltd.
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Abstract:

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correlation estimation, loss aggregation period, time series data, operational risk, capital calculation