Statistical models for operational risk management

Physica A: Statistical Mechanics and its Applications

Volumn 338, Issue 1-2 SPEC. ISS., 2004, Pages 166-172

  Cornalba, Chiara ^a   Giudici, Paolo ^a  

^a UNIVERSITY OF PAVIA   (Italy)

Author keywords

Bayesian networks; Operational risk management; Predictive models; Value at risk

Indexed keywords

COMPUTER SIMULATION; CONVOLUTION; MATHEMATICAL MODELS; PROBABILITY DISTRIBUTIONS; STATISTICAL METHODS; TOPOLOGY;

BAYESIAN NETWORKS; OPERATIONAL RISK MANAGEMENT; PREDICTIVE MODELS; VALUE AT RISK;

ELECTRONIC COMMERCE;

EID: 2942624237     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.02.039     Document Type: Conference Paper

References (8)

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3. King J. Operational Risk. Measurement and Modelling. 2001;Wiley, Chichester.
4. Basel Committee on Banking Supervision, Working Paper on the Regulatory Treatment of Operational Risk, 2001; http://www.bis.org.
5. C. Cornalba, P. Giudici, Bayesian Networks for Operational Risk Management, Compliant with Basel II, SIS, XLII Riunione Scientifica, 2003, to appear.
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7. Giudici P. Applied Data Mining: Statistical Methods for Business and Industry. 2003;Wiley, Chichester.
8. Jensen F.V. An Introduction to Bayesian Networks. 1996;UCL Press, London.