A Dynamical Model for Operational Risk in Banks
Operational risk is the risk relative to monetary losses caused by failures of bank internal processes due to heterogeneous causes. A dynamical model including both spontaneous generation of losses and generation via interactions between different processes is presented; the efforts made by the bank to avoid the occurrence of losses is also taken into account. Under certain hypotheses, the model can be exactly solved and, in principle, the solution can be exploited to estimate most of the model parameters from real data. The forecasting power of the model is also investigated and proved to be surprisingly remarkable.
|Date of creation:||Jul 2012|
|Date of revision:|
|Publication status:||Published in Proceedings of the International School of Physics "Enrico Fermi" 176 (2012), pp. 399-403|
|Contact details of provider:|| Web page: http://arxiv.org/|
When requesting a correction, please mention this item's handle: RePEc:arx:papers:1207.6186. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators)
If references are entirely missing, you can add them using this form.