Integrating Operational and Financial Risk Assessments

Silvia Figini, Ron Kenett and Silvia Salini ()
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Silvia Figini: University of Pavia

No unimi-1099, UNIMI - Research Papers in Economics, Business, and Statistics from Universitá degli Studi di Milano

Abstract: This paper proposes a novel methodology for integrating nan- cial risk and operational risk. In order to demonstrate the approach, we use real data from a telecommunication company providing services to enterprises in di erent business lines and geographical locations. For each enterprise, we have collected information about operational and nancial performance. Our objective is to produce a coherent measure of risk, integrating operational losses from various types of equipment failures and nancial risks derived from balance sheet information. The approach demonstrated in this case study can be generalized to general service providers who need to account for both the quality of service and the nancial solvency of their customers. Adressing risks in both dimensions is critical to long term sustainability and business continuity.

Keywords: Non Linear Principal Component Analysis; Score models; Bayesian integration; Basel Committee; operational risks; financial risks (search for similar items in EconPapers)
Date: 2010-01-26
Note: oai:cdlib1:unimi-1099
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Related works:
Working Paper: Integrating operational and financial risk assessments (2010)
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