Incorporating single and multiple losses in operational risk: a multi-period perspective
本文构建了一个多期操作风险模型，将操作中断的损失过程定义为触发单一和多重损失的事件之和，并用金融和制造业企业的数据验证了模型，发现忽略多重损失事件会显著低估长期资本规划中的操作风险。
Operational disruptions can have serious repercussions for firms over extended periods of time. In this work, we develop a multi-period model of operational risk. We define the loss process of operational disruptions as a sum of events triggering single and multiple losses. We empirically validate our approach using an extensive dataset of operational disruptions experienced by firms from the financial services and manufacturing industry sectors. The results of our simulations point out that operational risk is significantly underestimated if the events leading to multiple losses are not accounted for in the firms’ long-term capital planning.