Application of Bayesian Inference in the Structural Modelling of Operational Risk of Chinese Commercial Bank

被引：0
|
作者：
Hu Liqin [1 ]
Peng Hongfeng [1 ]
机构：
[1] Wuhan Univ, Dept Finance, Sch Econ & Management, Wuhan 430072, Peoples R China
来源：
2008 4TH INTERNATIONAL CONFERENCE ON WIRELESS COMMUNICATIONS, NETWORKING AND MOBILE COMPUTING, VOLS 1-31 | 2008年
关键词：
Bayesian Networks; Operational risk; Extreme value theory;
D O I：
暂无
中图分类号：
TN [电子技术、通信技术];
学科分类号：
0809 ;
摘要：
With the increase of the financial crimes in Chinese commercial banks, to measure the operational risks and build the comprehensive framework of operational risk management become increasingly urgent. In present study, Bayesian Inference, which combines the expert opinions and the dynamic risk factors, has been applied to the measurement of the operational risk based on its construction, initiation, parametric learning and scenario analysis. The internal and external frauds were characterized by the Pareto distribution, while the business disruption and the system failures were fitted by logarithm normal model in the process of initiation and elicitation. The results of the scenario analysis showed that the operational risk could he discovered in time and controlled by enhancing the construction of the incentive mechanism and consummating the audit system.
引用
收藏
页码：10675 / 10678
页数：4
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