In this paper, we construct a capital model for operational risk based on the observation that operational losses can, under a certain dimensional transformation, converge into a single, universal distribution, as previously established by Cohen in a 2016 paper. Derivation of the model is accomplished by directly applying the loss distribution approach to the transformed data, yielding a calibratable expression for risk capital. The expression, however, is applicable only to nonconduct losses because it incorporates empirical behaviors that are specific to them. For loss data that falls under the conduct category, this approach may not be valid; in such cases, one may have to resort to a different type of modeling technique.

中文翻译：

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基于损失分配法的操作风险资本模型

在本文中，我们根据 Cohen 在 2016 年的一篇论文中所建立的观察结果，即在一定的维度变换下，操作损失可以收敛为单一的、普遍的分布，我们构建了一个操作风险的资本模型。模型的推导是通过直接将损失分布方法应用于转换后的数据来完成的，从而产生风险资本的可校准表达式。然而，该表达式仅适用于非行为损失，因为它包含了特定于它们的经验行为。对于属于行为类别的损失数据，这种方法可能无效；在这种情况下，人们可能不得不求助于不同类型的建模技术。