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Riesgo operacional en la banca trasnacional: un enfoque bayesiano

Author

Listed:
  • José Francisco Martínez-Sánchez

    (Escuela Superior de Apan, Universidad Autónoma del Estado de Hidalgo. Pachuca de Soto Hidalgo. México.)

  • Francisco Venegas-Martínez

    (Escuela Superior de Economía, Instituto Politécnico Nacional. México.)

Abstract

This paper identifies and quantifies through a Bayesian Network model (BN) the various factors of Operational Risk (OR) associated with business lines of transnational banks. The BN model is calibrated with data from events that occurred in different lines of business of such banks during 2006-2009. Unlike classical methods, the BN model calibration include information sources from both objective and subjective, allowing more adequately capture the relationship (cause and effect) amongst the various elements of operational risk. Which potentiates its utility as shown in the comparative analysis performed between RB and classical approaches.

Suggested Citation

  • José Francisco Martínez-Sánchez & Francisco Venegas-Martínez, 2013. "Riesgo operacional en la banca trasnacional: un enfoque bayesiano," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 31-72, May.
    • Handle: RePEc:ere:journl:v:xxxii:y:2013:i:1:p:31-72
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    References listed on IDEAS

    as
    1. Degen, Matthias & Embrechts, Paul & Lambrigger, Dominik D., 2007. "The Quantitative Modeling of Operational Risk: Between G-and-H and EVT," ASTIN Bulletin, Cambridge University Press, vol. 37(2), pages 265-291, November.
    2. Gregor Heinrich, 2006. "Riesgo operacional, pagos, sistemas de pago y aplicación de Basilea II en América Latina: evolución más reciente," Boletín, CEMLA, vol. 0(4), pages 191-204, Octubre-d.
    3. Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, September.
    4. Marco Moscadelli, 2004. "The modelling of operational risk: experience with the analysis of the data collected by the Basel Committee," Temi di discussione (Economic working papers) 517, Bank of Italy, Economic Research and International Relations Area.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Franco-Arbeláez, Luis Ceferino & Franco-Ceballos, Luis Eduardo & Murillo-Gómez, Juan Guillermo & Venegas-Martínez, Francisco, 2015. "Riesgo operativo en el sector salud en Colombia [Operational Risk in the Health Sector in Colombia]," MPRA Paper 63149, University Library of Munich, Germany.

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    More about this item

    Keywords

    Operational risk; Bayesian Analysis; Monte Carlo Simulation;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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