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Die Behandlung der operationellen Risiken nach Basel II: Ein Anreiz zur Verbesserung des Risikomanagements?
Rünger, Petra; Walther, Ursula - Fakultät Wirtschaftswissenschaften, Technische … - 2004
Risikomanagement der operationellen Risiken dürfte in Zukunft ein entscheidender Wettbewerbsfaktor sein. Im Rahmen der Neuregelung der … bankaufsichtsrechtlichen Vorgaben gemäß Basel II werden sowohl eine Eigenkapitalunterlegung als auch qualitative Vorgaben zum Risikomanagement … dieser Risikoklasse neu eingeführt. Erklärtes Ziel ist es, Anreize für ein verbessertes Risikomanagement zu setzen. Die …
Persistent link: https://www.econbiz.de/10009207050
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Using Bayesian networks to model the operational risk to information technology infrastructure in financial institutions
Neil, Martin; Fenton, Norman - In: Journal of Financial Transformation 22 (2008), pp. 131-138
This paper describes the use of Bayesian networks (BNs) to model the operational risk to information technology (IT) infrastructure in financial and other institutions. We describe a methodology for modeling financial losses that might result from operational risk scenarios involving data...
Persistent link: https://www.econbiz.de/10004981453
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A Bayesian Networks approach to Operational Risk
Aquaro, V.; Bardoscia, M.; Bellotti, R.; Consiglio, A.; … - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 8, pp. 1721-1728
algorithm allows the construction of a Bayesian Network targeted for each bank and takes into account in a simple and realistic … way the correlations among different processes of the bank. The internal losses are averaged over a variable time horizon … implementation in a mid or small sized bank, since it has a small impact on the organizational structure of a bank and requires an …
Persistent link: https://www.econbiz.de/10010590746
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Determination of bank risk indicators and macroeconomic conditions in Venezuela (1997-2009)
Santafé, Yasmin Briceño; Merli, Giampaolo Orlandoni - In: Economía 37 (2012) 34, pp. 55-88
Venezuelan commercial and universal banks, as many banks in the rest of the world, are exposed to financial risks (credit risk, liquidity risk) and to operational risks. In this paper, the main relationships between the risks factors faced by banks and relevant economic variables are analysed,...
Persistent link: https://www.econbiz.de/10010781863
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Modelling macroeconomic effects and expert judgements in operational risk : a Bayesian approach
Santos, Holger Capa; Kratz, Marie; Munoz, Franklin Mosquera - HAL - 2012
This work presents a contribution on operational risk under a general Bayesian context incorporating information on market risk pro le, experts and operational losses, taking into account the general macroeconomic environment as well. It aims at estimating a characteristic parameter of the...
Persistent link: https://www.econbiz.de/10010543494
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Modelling macroeconomic eects and expert judgements in operational risk : a Bayesian approach
Capa Santos, Holger; Kratz, Marie; Mosquera Munoz, Franklin - ESSEC Business School - 2012
This work presents a contribution on operational risk under a general Bayesian context incorporating information on market risk pro le, experts and operational losses, taking into account the general macroeconomic environment as well. It aims at estimating a characteristic parameter of the...
Persistent link: https://www.econbiz.de/10010545144
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The Cascade Bayesian Approach for a controlled integration of internal data, external data and scenarios.
Hassani, Bertrand K.; Renaudin, Alexis - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2013
According to the last proposals of the Basel Committee on Banking Supervision, banks under the Advanced Measurement Approach (AMA) must use four different sources of information to assess their Operational Risk capital requirement. The fourth including "business environment and internal control...
Persistent link: https://www.econbiz.de/10010617533
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The Cascade Bayesian Approach for a controlled integration of internal data, external data and scenarios
Hassani, Bertrand; Renaudin, Alexis - HAL - 2013
According to the last proposals of the Basel Committee on Banking Supervision, banks under the Advanced Measurement Approach (AMA) must use four different sources of information to assess their Operational Risk capital requirement. The fourth including "business environment and internal control...
Persistent link: https://www.econbiz.de/10010635130
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Oversight Note on Credit Risk Management Title: Nota de supervisión sobre la gestión del riesgo crediticio
Soriano, Alejandro - Inter-American Development Bank - 2011
This evaluation examines IDB's management of credit risk of Non-Sovereign Guaranteed Operations. Although the IDB is not subject to the Principles for the Management of Credit Risk issued by the Basel Committee for Banking Supervision, these principles have been used as guidelines for this...
Persistent link: https://www.econbiz.de/10010673321
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Core transformations and related operational risks in retail banking: engaging for success in complex IT transformations
Stüve, Jan - In: Journal of Financial Transformation 37 (2013), pp. 16-24
In this paper, we focus on the technology side of transformation programs, specifically for retail banking. We do not cover organizational or strategic business aspects, which may be the trigger for such transformations. We do assume that a decision on consolidating or replacing core banking...
Persistent link: https://www.econbiz.de/10010991652