Cálculo del valor en riesgo operacional mediante redes bayesianas para una empresa financiera
Journal
Contaduría y Administración
ISSN
0186-1042
Date Issued
2016
Author(s)
Cruz Aranda, Fernando
Type
Resource Types::text::journal::journal article
Abstract
The aim of this paper is to outline the methodology based on the use of Bayesian networks (BN) to identify and quantify operational risk (OR) factors associated with processing financial transactions through electronic means in a financial company. BN model developed is exemplified with data from simulated events equivalent to six years period, from information provided by experts in this type of process. This represents one of the main advantages of using BR, they allow modeling the cause-effect relationships between different OR factors. Finally operational value at risk (OpVaR) for the example is calculated, where interacting factors that are not considered in the traditional model are incorporated, providing better conditions of credibility to this value.