Although people are a very important asset for financial firms, they are a key source of risk. Banks must allocate regulatory capital for covering their people-risk exposure. By using the Algo OpDataTM data set from US banks, and based on the loss distribution approach, we first estimate people-value-at-risk (people-VaR), assuming perfect correlation among people-risk categories but nonperfect dependence, for which the multivariate fast Fourier transformation is proposed. The diversified people-VaR is provided as a key indicator of an efficient capital allocation, and the traditional risk-adjusted return on capital measure is then readapted to evaluate the people-risk-adjusted performance.

中文翻译：

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为金融公司实现有效的人员风险资本配置：来自美国银行的证据

虽然人是金融公司非常重要的资产，但他们是风险的主要来源。银行必须分配监管资本以覆盖其人员风险敞口。通过使用来自美国银行的 Algo OpDataTM 数据集，并基于损失分布方法，我们首先估计了在险人员价值 (people-VaR)，假设人员风险类别之间存在完美相关性但非完美依赖，其中提出了多元快速傅立叶变换。提供多元化的人员-VaR 作为有效资本配置的关键指标，然后重新调整传统的风险调整资本回报率衡量指标，以评估人员风险调整后的绩效。