  A Value-at-Risk based model is proposed to compute the adequate equity
capital necessary to cover potential losses due to operational risks, such as
human and system process failures, in banking organizations. Exploring the
analogy to a lattice gas model from physics, correlations between sequential
failures are modeled by as functionally defined, heterogeneous couplings
between mutually supportive processes. In contrast to traditional risk models
for market and credit risk, where correlations are described by the covariance
of Gaussian processes, the dynamics of the model shows collective phenomena
such as bursts and avalanches of process failures.
