An analysis on operational risk in international banking: A Bayesian approach (2007–2011)
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| Format: | Artículo científico |
| Sprache: | en |
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Universidad ICESI
2016
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| _version_ | 1876466496597655552 |
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| author | José Francisco Martínez-Sánchez |
| author_facet | José Francisco Martínez-Sánchez |
| contents | An analysis on operational risk in international banking: A Bayesian approach (2007–2011) José Francisco Martínez-Sánchez María Teresa V. Martínez-Palacios Francisco Venegas-Martínez Administración y Contabilidad Operational risk Bayesian analysis Monte Carlo simulation This study aims to develop a Bayesian methodology to identify, quantify and measure operational risk in several business lines of commercial banking. To do this, a Bayesian network (BN) model is designed with prior and subsequent distributions to estimate the frequency and severity. Regarding the subsequent distributions, an inference procedure for the maximum expected loss, for a period of 20 days, is carried out by using the Monte Carlo simulation method. The business lines analyzed are marketing and sales, retail banking and private banking, which all together accounted for 88.5% of the losses in 2011. Data was obtained for the period 2007–2011 from the Riskdata Operational Exchange Association (ORX), and external data was provided from qualified experts to complete the missing records or to improve its poor quality. 2016 artículo científico 0123-5923 https://www.redalyc.org/articulo.oa?id=21248046002 https://www.redalyc.org/journal/212/21248046002/ https://www.redalyc.org/journal/212/21248046002/html/ https://www.redalyc.org/journal/212/21248046002/21248046002.epub https://www.redalyc.org/journal/212/21248046002/movil en http://www.redalyc.org/revista.oa?id=212 Estudios Gerenciales application/pdf Universidad ICESI Estudios Gerenciales (Colombia) Num.140 Vol.32 |
| format | Artículo científico |
| id | redalyc_21248046002 |
| institution | Redalyc |
| language | en |
| publishDate | 2016 |
| publisher | Universidad ICESI |
| spellingShingle | An analysis on operational risk in international banking: A Bayesian approach (2007–2011) José Francisco Martínez-Sánchez Administración y Contabilidad Operational risk Bayesian analysis Monte Carlo simulation An analysis on operational risk in international banking: A Bayesian approach (2007–2011) José Francisco Martínez-Sánchez María Teresa V. Martínez-Palacios Francisco Venegas-Martínez Administración y Contabilidad Operational risk Bayesian analysis Monte Carlo simulation This study aims to develop a Bayesian methodology to identify, quantify and measure operational risk in several business lines of commercial banking. To do this, a Bayesian network (BN) model is designed with prior and subsequent distributions to estimate the frequency and severity. Regarding the subsequent distributions, an inference procedure for the maximum expected loss, for a period of 20 days, is carried out by using the Monte Carlo simulation method. The business lines analyzed are marketing and sales, retail banking and private banking, which all together accounted for 88.5% of the losses in 2011. Data was obtained for the period 2007–2011 from the Riskdata Operational Exchange Association (ORX), and external data was provided from qualified experts to complete the missing records or to improve its poor quality. 2016 artículo científico 0123-5923 https://www.redalyc.org/articulo.oa?id=21248046002 https://www.redalyc.org/journal/212/21248046002/ https://www.redalyc.org/journal/212/21248046002/html/ https://www.redalyc.org/journal/212/21248046002/21248046002.epub https://www.redalyc.org/journal/212/21248046002/movil en http://www.redalyc.org/revista.oa?id=212 Estudios Gerenciales application/pdf Universidad ICESI Estudios Gerenciales (Colombia) Num.140 Vol.32 |
| title | An analysis on operational risk in international banking: A Bayesian approach (2007–2011) |
| topic | Administración y Contabilidad Operational risk Bayesian analysis Monte Carlo simulation |
| url | https://www.redalyc.org/articulo.oa?id=21248046002 https://www.redalyc.org/journal/212/21248046002/ https://www.redalyc.org/journal/212/21248046002/html/ https://www.redalyc.org/journal/212/21248046002/21248046002.epub https://www.redalyc.org/journal/212/21248046002/movil |