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14 résultats pour « operational risk »

On Modeling Contagion in the Formation of Operational Risk Loss

19 févr. 2024 Autre, operational risk, network structure, exponential distribution, contagion, Pareto distribution, loss distribution approach, Quantification des risques

“We lay a theoretical foundation for the choice of an exponential–Pareto combined distribution to model the severity of the operational risk. We derive, on a theoretical basis, the functional form of the operational risk severity distribution. The resulting loss severity distribution, in theory, is consistent with the parametric distribution that previous empirical works suggest is the best fit for loss data.”

Improving Data for Managing Cyber Risk and Building Resilience

27 oct. 2023 Autre, operational risk, Cyber risk, systemic risk, cyber risk management, cyber losses, enterprise risk management, Résilience numérique

“Gaps in the data available for assessing cyber risk have limited the development of metrics that would help the public and private sectors prevent and recover from cyberattacks and reduce systemic risk. Cyber incident disclosure rules, introduced to close the data gaps, help but fall short in supporting the effective management of cyber risk. This article examines current and proposed reporting requirements, especially in the financial sector, where they are the most advanced.”

A Text Analysis of Operational Risk Loss Descriptions

9 oct. 2023 Autre, operational risk, clustering natural language processing, text analysis, dimensionality reduction

“This study presents a structured workflow applying text analysis to operational risk event descriptions. It identifies managerial clusters causing risks, enhancing traditional quantitative methods, and improving risk mitigation based on historical loss events.”

Operational Risk and Regulatory Capital: Do Public and Private Banks Differ?

5 oct. 2023 Autre, banks, sustainability, operational risk, Basel norms, regulatory capital

“The study demonstrates the capability of certain public sector banks to bear operational risk on a particular level of regulatory capital. The ability of a bank to be successful under unfavorable conditions is related to its operational risk, regulatory capital and management processes.”

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