A Bayesian network structure for operational risk modelling in structured finance operations

作者：Sanford A D^*; Moosa I A

来源：Journal of the Operational Research Society, 2012, 63(4): 431-444.

DOI：10.1057/jors.2011.7

• banking
• Bayesian networks
• operational risk
• cognitive mapping
• artificial intelligence

This paper is concerned with the design of a Bayesian network structure that is suitable for operational risk modelling. The model%26apos;s structure is designed specifically from the perspective of a business unit operational risk manager whose role is to measure, record, predict, communicate, analyse and control operational risk within their unit. The problem domain modelled is a functioning structured finance operations unit within a major Australian bank. The network model design incorporates a number of existing human factor frameworks to account for human error and operational risk events within the domain. The design also supports a modular structure, allowing for the inclusion of many operational loss event types, making it adaptable to different operational risk environments. Journal of the Operational Research Society (2012) 63, 431-444. doi: 10.1057/jors.2011.7 Published online 11 May 2011

• 出版日期2012-4