A Bayesian network structure for operational risk modelling in structured finance operations

A D Sanford and I A Moosa
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A D Sanford: Monash University, Victoria, Australia
I A Moosa: Monash University, Victoria, Australia

Journal of the Operational Research Society, 2012, vol. 63, issue 4, 431-444

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.

Date: 2012
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