Abstract
Nonstationarity in operational risk loss data time series is a known effect, but has so far rarely been analyzed in detail. Taking transaction banking as a segregated object of study, a simple model presented in this paper, based on interest rate dependency and reporting threshold, can provide an explication for this pseudononstationarity in the last decade. Especially from the perspective of a business line, the separation of this effect can improve the monitoring of measures to reduce operational risk in an active management approach.
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