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Discrete Dynamics in Nature and Society
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Discrete Dynamics in Nature and Society
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2016
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Article
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Tab 6
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Research Article
Operational Risk Aggregation Based on Business Line Dependence: A Mutual Information Approach
Table 6
VaR of operational risk under different dependence assumptions (CNY billion).
Confidence levels
90%
95%
99%
99.9%
Linear dependence
18
27
67
219
Generalized dependence
19
28
72
248
Perfect dependence
19
31
88
374