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Siec Bayesa jako narzedzie wspomagajce zarzadzanie ryzykiem operacyjnym w banku

Author

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  • Dominika Gadowska-dos Santos

    (Uniwersytet Warszawski, Wydzial Nauk Ekonomicznych, Katedra Bankowosci, Finansow i Rachunkowosci)

Abstract

This paper shows that analysis of risk sources and identification of cause-effect relationships are crucial elements of the operational risk management process. Knowledge of the reasons and consequences of risk materialization is key for reliable forecasting of the effects of managerial actions and for planning interventions capable of shaping the reality according to expectations. The article concentrates on presenting one means of analyzing causal chains – Bayesian networks that can help banks understand the nature of operational risk, minimizing its scale, and, as a result, increasing the financial institutions’ efficiency. The definition, design rules, ways of using the method to analyze cause-effect relationships between operational risk factors, as well as advantages and drawbacks of the approach, are discussed.

Suggested Citation

  • Dominika Gadowska-dos Santos, 2017. "Siec Bayesa jako narzedzie wspomagajce zarzadzanie ryzykiem operacyjnym w banku," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 15(66), pages 125-144.
    • Handle: RePEc:sgm:pzwzuw:v:15:i:66:y:2017:p:125-144
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    More about this item

    Keywords

    operational risk; bank; Bayesian network; cause-effect relationships institutions; deposit guarantee schemes;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies

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