Report
Banking and insurance correlation reports
Understanding dependency between risks
Service
ORX Membership
Community
Analytics Community
Risk programme
Measurement, Data & Capital
Report - December 2022
Understanding dependency structures between a diverse range of risk types is a crucial part of risk measurement in many disciplines, and can have a significant impact on capital models.
In operational risk modelling, where insurers and banks must model a diverse range of risk types, this is particularly true. It is common for firms to model different risk types separately and combine the resulting loss distributions to estimate a firm-level view of operational risk.
To help members benchmark their own correlation estimates against the rest of the ORX community, we have produced correlation studies in 2008, 2012, 2018, 2020 and 2022 for the global banking service and in 2018, 2020 and 2022 for the insurance service.
These reports consider dependency between risk types by analysing the range of correlation values among ORX members using the ORX loss database. You can download all the full reports from these studies at the bottom of the page.
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Contacts:

Sarah Astill
Head of Risk Measurement, ORX