Study on operational risk management in commercial banks based on Bayesian networks

摘要：

According to the Basel II Framework, operational risk becomes one of three major risks of commercial banks. In this article, a Bayesian network model is applied to operational risk management in commercial banks, then empirical study is done on operational risk of Chinas commercial banks, and finally several new conclusions are drawn as follows. (I) With the lack of banks loss data, the Bayesian network model is helpful for operational risk management in Chinas commercial banks. (2) The management of internal fraud is more effective to reduce operational risk loss. (3) What-if of the Bayesian network model can be used for risk control, and the model can quantify factors of the loss.

关键词： Bayesian networks operational risk commercial banks empirical study

作者: Bo LI Cong-wei XU Cong-na QUAN

作者单位: School of Economics and Management,Beijing University of Aeronautics and Astronautics,Beijing 100083 School of Business,Agricultural University of Hebei,Baoding 071000,China

会议类型: 国际会议

会议名称: 2008 International Conference on Risk and Relianility Management(2008风险与可靠性管理国际会议)

会议地点: 北京

会议语种:英文

页码: 110-113

在线出版日期: 2008-11-10（万方平台首次上网日期，不代表论文的发表时间）