  Most of the banks' operational risk internal models are based on loss pooling
in risk and business line categories. The parameters and outputs of operational
risk models are sensitive to the pooling of the data and the choice of the risk
classification. In a simple model, we establish the link between the number of
risk cells and the model parameters by requiring invariance of the bank's loss
distribution upon a change in classification. We provide details on the impact
of this requirement on the domain of attraction of the loss distribution, on
diversification effects and on cell risk correlations.
