Bayesian Network Approach to Operational Risk in Taiwanese Banking

• Main Authors: ToBao Dong, 蘇寶同
• Other Authors: Cheng,Ya-Suei
• Format: Others
• Language: en_US
• Online Access: http://ndltd.ncl.edu.tw/handle/54972214180821878585

碩士 === 元智大學 === 經營管理碩士班(企業管理與服務科學學程) === 100 === This study focuses on applying Bayesian network to model and measure the credit risk in Taiwanese banking. We calculated the unexpected loss from operational risk by taking into account both loss frequency and loss severity. The different scenarios each potential loss is generated according to Monte Carlo simulation that uses the frequency distribution identified from the data. The BNs is the convenient tool to combine qualitative data from experts and quantitative data from the TEJ database in the way to considering the Basel standard. Our research has succeeded in calculating the capital requirement to cover the operational risk in banks. Both of independent model and dependent model have also mentioned in this research.