Value-at-risk: is lacking in sub-additivity just an annoying technicality?

Operational Risk Management in Financial Institutions: A Literature Review

“…12 Among the articles concerned with Pillar I (almost 49%), the subcategory "Estimation" received the most attention. Articles within this subcategory develop various models to measure regulatory capital against operational risk (see, e.g., [25][26][27][28][29][30][31][32][33][34]). The second largest topic (with 79 articles) is the "Application" of different models on the systematically collected internal or external operational loss databases (see, for instance, [5,[35][36][37][38][39][40][41][42][43][44]).…”