SAS: Operational risk: Where is the value? A first order approximation

This article focuses on finding the true tangible value of investing in upgrades (such as technology improvements) to the operational risk control framework. Our method calculates an upper and lower bound for the cost of capital incurred from taking on operational risk. This method provides practitioners a first order approximation to quantify the benefits of enhancing the operational risk control framework.

Using Return on Risk Weighted Assets (RORWA) time series and a public loss database

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