Credal networks for commercial bank operational risk management

摘要：

In this paper, we firstly give a brief introduction to the characteristics of commercial banks operational risk and credal net work model. Secondly we bring forward an operational risk measurement model based on the credal networks combined with various experts imprecise probabilities to measure this kind of risk. Then, we implement the credal network model with a two-way reasoning algorithm using the Matlab-BNT toolbox and make a forward risk loss forecast and a backward risk reason analysis in a partially inaccurate probabilities condition. At last, we show the rationality and validity of the credal network model through a real example in a commercial bank credit operating risk management.

关键词： commercial bank operational risk credal networks causal modelling

作者: Jian LIU Jinlin LI Lun RAN Xin QIAN

作者单位: School of Management and Economics,Beijing Institute of Technology,Beijing,100081,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: 199-205

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）