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

Author

Listed:
  • A D Sanford

    (Monash University, Victoria, Australia)

  • I A Moosa

    (Monash University, Victoria, Australia)

Abstract

This paper is concerned with the design of a Bayesian network structure that is suitable for operational risk modelling. The model'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.

Suggested Citation

  • A D Sanford & I A Moosa, 2012. "A Bayesian network structure for operational risk modelling in structured finance operations," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 63(4), pages 431-444, April.
    • Handle: RePEc:pal:jorsoc:v:63:y:2012:i:4:p:431-444
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    Cited by:

    1. Dimitris Andriosopoulos & Michalis Doumpos & Panos M. Pardalos & Constantin Zopounidis, 2019. "Computational approaches and data analytics in financial services: A literature review," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 70(10), pages 1581-1599, October.
    2. Doumpos, Michalis & Zopounidis, Constantin & Gounopoulos, Dimitrios & Platanakis, Emmanouil & Zhang, Wenke, 2023. "Operational research and artificial intelligence methods in banking," European Journal of Operational Research, Elsevier, vol. 306(1), pages 1-16.
    3. Marco Aurélio de Oliveira & Antonio Schalata Pacheco & André Hideto Futami & Luiz Veriano Oliveira Dalla Valentina & Carlos Alberto Flesch, 2023. "Self‐organizing maps and Bayesian networks in organizational modelling: A case study in innovation projects management," Systems Research and Behavioral Science, Wiley Blackwell, vol. 40(1), pages 61-87, January.

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