Research Article
Operational Risk Aggregation Based on Business Line Dependence: A Mutual Information Approach
Table 5
Critical values for testing independence.
| Confidence level | Critical value (for mutual information) | Critical value (for generalized correlation coefficient) |
| 90% | 0.15 | 0.51 | 95% | 0.21 | 0.59 | 99% | 0.32 | 0.69 |
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