237,417 research outputs found
MODELING OPERATIONAL RISK IN DATA QUALITY (Practice-oriented paper)
Abstract: In this paper, we address how data quality (DQ) is likely linked to failed business processes that pose operational risks to the Enterprise system. Operational value at risk (OPVAR), which is used in the finance literature to mean how much we might expect to lose if an event in the tail of the loss probability distribution does not occur, can be used to conduct Enterprise software reliability and damage function analysis. This paper explores (a) how to combine distributional assumptions for event frequency and severity to derive software loss cost estimates using the familiar example of software processing errors and (b) how to utilize the estimates of this distribution to estimate OPVAR-based losses. The empirical results show (a) that it is possible to fit DQ problems, such as the daily mishandling event data, to a distribution and to use maximum likelihood analysis to derive a consistent set of critical event count thresholds and (b) that the resulting OPVAR-based losses can be used by DQ managers to ascertain the real costs of mitigating DQ problems
Implementing Loss Distribution Approach for Operational Risk
To quantify the operational risk capital charge under the current regulatory
framework for banking supervision, referred to as Basel II, many banks adopt
the Loss Distribution Approach. There are many modeling issues that should be
resolved to use the approach in practice. In this paper we review the
quantitative methods suggested in literature for implementation of the
approach. In particular, the use of the Bayesian inference method that allows
to take expert judgement and parameter uncertainty into account, modeling
dependence and inclusion of insurance are discussed
Expert Elicitation for Reliable System Design
This paper reviews the role of expert judgement to support reliability
assessments within the systems engineering design process. Generic design
processes are described to give the context and a discussion is given about the
nature of the reliability assessments required in the different systems
engineering phases. It is argued that, as far as meeting reliability
requirements is concerned, the whole design process is more akin to a
statistical control process than to a straightforward statistical problem of
assessing an unknown distribution. This leads to features of the expert
judgement problem in the design context which are substantially different from
those seen, for example, in risk assessment. In particular, the role of experts
in problem structuring and in developing failure mitigation options is much
more prominent, and there is a need to take into account the reliability
potential for future mitigation measures downstream in the system life cycle.
An overview is given of the stakeholders typically involved in large scale
systems engineering design projects, and this is used to argue the need for
methods that expose potential judgemental biases in order to generate analyses
that can be said to provide rational consensus about uncertainties. Finally, a
number of key points are developed with the aim of moving toward a framework
that provides a holistic method for tracking reliability assessment through the
design process.Comment: This paper commented in: [arXiv:0708.0285], [arXiv:0708.0287],
[arXiv:0708.0288]. Rejoinder in [arXiv:0708.0293]. Published at
http://dx.doi.org/10.1214/088342306000000510 in the Statistical Science
(http://www.imstat.org/sts/) by the Institute of Mathematical Statistics
(http://www.imstat.org
New Trends regarding the Operational Risks in Financial Sector
Risks, especially "operational risks" are part of corporate life, they are the essence of financial institutions' activities. Operational risks are complex and often interlinked and have to be managed properly. Today, there is more pressure to avoid operational risks while continuing to improve corporate performance in the new environment. The operational risk management of the future has to be seen in the wider context of globalization and Internet-related technologies. The two major future drivers - globalization and Internet-related technologies - will challenge the firms from financial sector to take on additional and partly new operational risk.operational risk, financial sector, models, trends
Loss Distribution Approach for Operational Risk Capital Modelling under Basel II: Combining Different Data Sources for Risk Estimation
The management of operational risk in the banking industry has undergone
significant changes over the last decade due to substantial changes in
operational risk environment. Globalization, deregulation, the use of complex
financial products and changes in information technology have resulted in
exposure to new risks very different from market and credit risks. In response,
Basel Committee for banking Supervision has developed a regulatory framework,
referred to as Basel II, that introduced operational risk category and
corresponding capital requirements. Over the past five years, major banks in
most parts of the world have received accreditation under the Basel II Advanced
Measurement Approach (AMA) by adopting the loss distribution approach (LDA)
despite there being a number of unresolved methodological challenges in its
implementation. Different approaches and methods are still under hot debate. In
this paper, we review methods proposed in the literature for combining
different data sources (internal data, external data and scenario analysis)
which is one of the regulatory requirement for AMA
Operational Risk Assesement Tools for Quality Management in Banking Services
Among all the different types of risks that can affect financial companies, the operational risk can be the most devastating and the most difficult to anticipate. The management of operational risk is a key component of financial and risk management discipline that drives net income results, 2capital management and customer satisfaction. The present paper contains a statistical analysis in order to determine the number of operational errors as quality based services determinants, depending on the number of transactions performed at the branch unit level. Regression model applied to a sample of 418 branches of a major Romanian bank is used to guide the decision taken by the bank, consistent with its priorities of minimizing the risk and enlarging the customer base ensuring high quality services. The analyisis reveals that the model can predict the quality of the transactions based on the number of operational errors. Under Basel II, this could be a very helpful instrument for banks in order to adjust the capital requirement to the losses due to operational errors, predicted by the model.quality management, operational risk, banking services, binary regression model
On green routing and scheduling problem
The vehicle routing and scheduling problem has been studied with much
interest within the last four decades. In this paper, some of the existing
literature dealing with routing and scheduling problems with environmental
issues is reviewed, and a description is provided of the problems that have
been investigated and how they are treated using combinatorial optimization
tools
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