RESEARCH ON OPERATIONAL RISK MEASUREMENT FOR COMMERCIAL BANK BASED ON CREDAL NETWORK

被引：0

作者：

Liang, Li-Jun ^{[1
]}

Cao, Li-Jie ^{[2
]}

Li, Zhi-Xiang ^{[1
]}

机构：

[1] Beijing Inst Technol, Sch Management & Econ, Beijing 100081, Peoples R China

[2] Hebei Univ Sci & Technol, Sch Econ & Management, Shijiazhuang 050018, Peoples R China

来源：

PROCEEDINGS OF 2009 INTERNATIONAL CONFERENCE ON MACHINE LEARNING AND CYBERNETICS, VOLS 1-6 | 2009年

关键词：

Credal Network; Bayesian Network; Commercial Bank; Operational Risk Measurement;

D O I：

10.1109/ICMLC.2009.5212128

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Credal network is the extension of Bayesian network. It could not only introduce the uncertainty into the probability sets but also integrate various knowledge and opinion of financial experts based on Bayesian Network to reason under uncertain circumstance. Credal network method could analyze and get the joint probability interval of the formation nodes of risk factors to make use of the combination of quantitative and qualitative analysis methods. At the same time, this method could establish the Credal network direct acyclic graphs (DAG) of Operational Risk for commercial banks so as to propose the new reference model for Operational Risk measurement. The research purpose expects to provide the efficiency and validity methods to apply to the Operational Risk measurement for commercial banks.

引用

页码：2634 / +

页数：3

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