Riesgo operacional en la banca trasnacional: un enfoque bayesiano

José Francisco Martínez-Sánchez () and Francisco Venegas-Martínez
Additional contact information
José Francisco Martínez-Sánchez: Escuela Superior de Apan, Universidad Autónoma del Estado de Hidalgo. Pachuca de Soto Hidalgo. México.

Ensayos Revista de Economia, 2013, vol. XXXII, issue 1, 31-72

Abstract: This paper identifies and quantifies through a Bayesian Network model (BN) the various factors of Operational Risk (OR) associated with business lines of transnational banks. The BN model is calibrated with data from events that occurred in different lines of business of such banks during 2006-2009. Unlike classical methods, the BN model calibration include information sources from both objective and subjective, allowing more adequately capture the relationship (cause and effect) amongst the various elements of operational risk. Which potentiates its utility as shown in the comparative analysis performed between RB and classical approaches.

Keywords: Operational risk; Bayesian Analysis; Monte Carlo Simulation (search for similar items in EconPapers)
JEL-codes: C11 C15 D81 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.economia.uanl.mx/revistaensayos/xxxii/1 ... rtinez-y-Venegas.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ere:journl:v:xxxii:y:2013:i:1:p:31-72

Ordering information: This journal article can be ordered from

Access Statistics for this article

Ensayos Revista de Economia is currently edited by Edgar Mauricio Luna Domínguez

More articles in Ensayos Revista de Economia from Universidad Autonoma de Nuevo Leon, Facultad de Economia Avenida Lazaro Cardenas 4600 Ote., Fraccionamiento Residencial Las Torres, C.P. 64930. Monterrey, Nuevo Leon. México.. Contact information at EDIRC.
Bibliographic data for series maintained by Dora María Vega Facio ( this e-mail address is bad, please contact ).