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Mathematical Problems in Engineering
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Mathematical Problems in Engineering
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2014
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Article
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Tab 4
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Research Article
Operational Risk Aggregation across Business Lines Based on Frequency Dependence and Loss Dependence
Table 4
Operational risk capital charge by LDA-FD.
Confidence level
90%
95%
99%
99.9%
99.97%
VaR
26
34
61
231
627
Economic capital
11
19
46
217
613
Unit: billion CNY.