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Operational Risk Modelling and Organizational Learning in Structured Finance Operations: A Bayesian Network Approach
Company: Journal of the Operational Research Society
Company Url: Click here to open
Year Of Publication: 2013
Month Of Publication: December
Resource Link: Click here to open
Download Count: 0
View Count: 1668
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 1-5-2014
Publisher: Administrator
This paper describes the development of a tool, based on a Bayesian network model, that provides posteriori predictions of operational risk events, aggregate operational loss distributions, and Operational Value-at-Risk, for a structured finance operations unit located within one of Australia's major banks. The Bayesian network, based on a previously developed causal framework, has been designed to model the smaller and more frequent, attritional operational loss events. Given the limited availability of risk factor event information and operational loss data, we rely on the elicitation of subjective probabilities, sourced from domain experts.
Moosa, Imad A. Sign in to follow this author
Sanford, Andrew Sign in to follow this author
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