Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

operational risk sign in to follow this
Bayesian network sign in to follow this
structured finance sign in to follow this
artificial intelligence sign in to follow this
Categories:

VaR Uses sign in to follow this
--Operational Risk sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
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: 1350
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 1-5-2014
Publisher: Administrator
Summary
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.
Author(s)
Moosa, Imad A. Sign in to follow this author
Sanford, Andrew Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile