Statistical models for operational risk management

被引：45

作者：

Cornalba, C

Giudici, P

机构：

[1] Univ Pavia, Dipartimento Econ Polit & Metodi Quantitat, I-27100 Pavia, Italy

[2] Univ Pavia, Dipartimento Informat & Sistemist, I-27100 Pavia, Italy

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2004年 / 338卷 / 1-2期

关键词：

Bayesian networks; operational risk management; predictive models; value at risk;

D O I：

10.1016/j.physa.2004.02.039

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

The Basel Committee on Banking Supervision has released, in the last few years, recommendations for the correct determination of the risks to which a banking organization is subject. This concerns, in particular, operational risks, which are all those management events that may determine unexpected losses. It is necessary to develop valid statistical models to measure and, consequently, predict, such operational risks. In the paper we present the possible approaches, including our own proposal, which is based on Bayesian networks. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：166 / 172

页数：7