| 基于贝叶斯网络的操作风险预警机制研究 |
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| 引用本文： | 陆静,唐小我.基于贝叶斯网络的操作风险预警机制研究[J].管理工程学报,2008,22(4):56-61. |
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| 作者姓名： | 陆静 唐小我 |
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| 作者单位： | 1. 重庆大学经济与工商管理学院,重庆,400030
2. 电子科技大学管理学院,四川,成都,610054 |
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| 基金项目： | 全国统计科研项目
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| 摘 要： | 鉴于商业银行的操作风险管理具有样本量小、结构复杂等特点,较难运用传统方法构建风险预警系统,本文采用贝叶斯网络.研究了商业银行操作风险预警系统的建模过程并根据我国商业银行操作风险的外部数据给出了算例.通过构建由关键风险指标和关键风险诱因组成的商业银行操作风险拓扑结构,本文分析了各类风险指标对操作风险的作用形式,在对各类节点赋值的基础上,通过贝叶斯推理,建立起商业银行操作风险的预警系统.以便在出现可能导致巨额损失时,商业银行能够及时采取措施化解操作风险.
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| 关 键 词： | 贝叶斯网络 操作风险 风险管理 |
Building up the Pre-Warning System of Operational Risk by Means of Bayesian Networks |
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| LU Jing,TANG Xiao-wo.Building up the Pre-Warning System of Operational Risk by Means of Bayesian Networks[J].Journal of Industrial Engineering and Engineering Management,2008,22(4):56-61. |
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| Authors: | LU Jing TANG Xiao-wo |
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| Institution: | LU Jing,TANG Xiao-wo(1.College of Economics , Business Administration,Chongqing University,Chongqing 400030,China,2.School of Management,University of Electronic Science , Technology,Chengdu 610054,China) |
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| Abstract: | Because operational risk of commercial banking has special characteristics with few samples and complex structure,it is difficult to build up pre-warning system by means of conventional financial risk pre-warning approach.With the Bayesian networks,by constructing operational risk's topology networks being consist of KRIs and KRDs,this paper analyzes many indicators' action forms of operational risk.After evaluating every node,we calculate these indicators' influence on operational risk,and building up the ... |
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| Keywords: | bayesian networks operational risk risk management |
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