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Photo du rédacteurHélène Dufour

Correlations in Operational Risk Stress Testing: Use and Abuse

"Evidence that the COVID-19 pandemic had minimal effect on operational risk losses in 2020 is presented and the effect of model risk is emphasized. Our results show that the existence or otherwise of significant correlations depends on the regression model used, whether data series show trends, the time window concerned, geographical location and the type of financial institution."


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