Infosys White Paper: Operational risk and Probabilistic Networks
With the Basel deadlines fast approaching, most affected banks are scrambling to get their operational risk management act together. Among many factors that are impeding the development of stable operational risk management infrastructures, unavailability of loss data is probably the most common. Without a credible internal loss history database, most of the advanced risk analysis and measurement techniques (e.g., Loss Distribution Approach) cannot be implemented. The Based defined requirements for loss history are fairly stringent - to use any one of the actuarial approaches, organizations would need to have at least three years (preferably five) of operational loss history. Most banks and financial institutions are not likely to have this historical data, especially for some business lines - risk category combinations.
|
Finance for Danish Industry A/S (FIH Erhvervsbank A/S) has used HUGIN software to solve a complex and challenging exercise under the Financial Sector Assessment Program of the International Monetary Fund (IMF).