A method of allocating Operational Risk regulatory capital using the Shapley method for a large number of business units, supported by a service, is proposed. A closed-form formula for Shapley allocations is developed under two principal assumptions. First, if business units form coalitions, the value added to the coalition by a new entrant depends on a constant proportionality factor. This factor represents the diversification that can be achieved by combining operational risk losses. Second, that the service should reduce the capital payable by business units, and that this reduction is calculated as an integral part of the allocation process. We ensure that allocations of capital charges are acceptable to and are understandable by both risk and senior managers. The results derived are applied to recent loss data.

中文翻译：

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操作风险中的沙普利分配、多元化和服务

提出了一种使用 Shapley 方法为由服务支持的大量业务单位分配操作风险监管资本的方法。Shapley 分配的封闭式公式是在两个主要假设下开发的。首先，如果业务单位形成联盟，新进入者为联盟增加的价值取决于一个恒定的比例因子。该因素代表了通过合并操作风险损失可以实现的多元化。其次，服务应减少业务单位应付的资本，并且这种减少是作为分配过程的一个组成部分计算的。我们确保资本费用的分配是风险和高级管理人员都可以接受和理解的。得出的结果适用于最近的损失数据。