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A Dynamical Model for Forecasting Operational Losses
Year Of Publication: 2011
Month Of Publication: November
Pages: 30
Download Count: 24
View Count: 1749
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 7-1-2010
Publisher: Administrator
Summary
A novel dynamical model for the study of operational risk in banks is proposed. The equation of motion takes into account the interactions among different bank’s processes, the spontaneous generation of losses via a noise term and the efforts made by the banks to avoid their occurrence. A scheme for the estimation of some parameters of the model is illustrated, so that it can be tailored on the internal organizational structure of a specific bank. We focus on the case in which there are no causal loops in the matrix of couplings and exploit the exact solution to estimate also the parameters of the noise.
This document is published in Physica A (volume 391, number 8) April 2012, 2641-2655.
http://dx.doi.org/10.1016/j.physa.2011.12.046
Author(s)
Bellotti, Roberto Sign in to follow this author
Bardoscia, Marco Sign in to follow this author
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