%0 Journal Article 
%T Un análisis del riesgo operacional en la banca internacional: un enfoque bayesiano (2007-2011)
%D 2016
%@ 0123-5923
%U http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/2299
%X This study aims to develop a Bayesian methodology to identify, quantify and measure operational risk
in several business lines of commercial banking. To do this, a Bayesian network (BN) model is designed
with prior and subsequent distributions to estimate the frequency and severity. Regarding the subsequent
distributions, an inference procedure for the maximum expected loss, for a period of 20 days, is carried
out by using the Monte Carlo simulation method. The business lines analyzed are marketing and sales,
retail banking and private banking, which all together accounted for 88.5% of the losses in 2011. Data
was obtained for the period 2007–2011 from the Riskdata Operational Exchange Association (ORX), and
external data was provided from qualified experts to complete the missing records or to improve its poor
quality.
%K Agricultura
%K Innovación
%K Métodos de simulación
%~ GOEDOC, SUB GOETTINGEN