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Cause-to-Effect Operational Risk Quantification
Company: Risk Management
Company Url: Click here to open
Year Of Publication: 2006
Month Of Publication: August
Resource Link: Click here to open
Pages: 16-42
Download Count: 309
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 12-17-2007
Publisher: Administrator
Summary
Operational-risk quantification has recently become important owing to thenew Basel II regulations. Current methods based on observation of losses andtheir magnitudes to quantify operational risk do not preserve the cause-toeffectrelationship that shows how operational risk can be reduced, managed,and controlled. We introduce a cause-to-effect operational-risk modelingmethodology that enables operational risk to be reduced, managed, andcontrolled. As part of this methodology we develop a decompositionalgorithm to address the complexity of large-scale models. We demonstratethe use of this methodology with an example inspired by the settlementprocess of an inter-bank financial clearinghouse.
THIS IS A PRE-PUBLICATION VERSION OF THIS DOCUMENT.
Author(s)
Supatgiat, Chonawee Sign in to follow this author
Kenyon, Chris Sign in to follow this author
Heusler, Lucas Sign in to follow this author
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