Banking and insurance correlation reports

Report - May 2024

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 wider ORX consortium, we have produced correlation studies in 2008, 2012, 2018, 2020, 2022 and 2024 for the global banking service and in 2018, 2020, 2022 and 2024 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. ORX members can download all the full reports from these studies at the bottom of the page.