Abstract
This paper is concerned with the design of a Bayesian network structure that is suitable for operational risk modelling. The model s structure is designed specifically from the perspective of a business unit operational risk manager whose role is to measure, record, predict, communicate, analyse and control operational risk within their unit. The problem domain modelled is a functioning structured finance operations unit within a major Australian bank. The network model design incorporates a number of existing human factor frameworks to account for human error and operational risk events within the domain. The design also supports a modular structure, allowing for the inclusion of many operational loss event types, making it adaptable to different operational risk environments.
Original language | English |
---|---|
Pages (from-to) | 431 - 444 |
Number of pages | 14 |
Journal | Journal of the Operational Research Society |
Volume | 63 |
Issue number | 4 |
DOIs | |
Publication status | Published - 2012 |