Logical Probabilistic Models of Banks Operational Risks

Abstract

AbstractWe describe Risk management technologies for bank operational risks: initiating and derived events; representation of the structural risk model; logical and probabilistic model of the operational risk; reservation for the operational risk; the influence of internal initiating and repeated events on operational risk; contributions of initiating events.In accordance with the Basel’s agreement we consider the following logic and probabilistic (LP) models in order to estimate the capital reserve for operational risk: the LP-failure risk model for solving the operation risk problem; the LP-model of assessing the operational risk by the standardized Basel method; the LP-model of assessing operational risk by the advanced Basel method; the technique of the LP-analysis of operational risk; estimation of the reserve for operational risk by Basel and LP-model; the LP-bank risk model which takes into account internal and external events; the LP-bank risk model which combines of other bank risks; the technique of direct and inverse estimates of probabilities of events in operational risk by expert information.KeywordsBusiness ProcessRisk ModelCredit RiskOperational RiskRepeated EventThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.