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We describe Risk management technologies for bank operational risks: initiating and derived events; representation of the structural risk model; logical and probabilistic model of the operational risk; reservation for the operational risk; the influence of internal initiating and repeated events on operational risk; contributions of initiating events.
In accordance with the Basel’s agreement we consider the following logic and probabilistic (LP) models in order to estimate the capital reserve for operational risk: the LP-failure risk model for solving the operation risk problem; the LP-model of assessing the operational risk by the standardized Basel method; the LP-model of assessing operational risk by the advanced Basel method; the technique of the LP-analysis of operational risk; estimation of the reserve for operational risk by Basel and LP-model; the LP-bank risk model which takes into account internal and external events; the LP-bank risk model which combines of other bank risks; the technique of direct and inverse estimates of probabilities of events in operational risk by expert information.
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Buhtin, M.A.: Technique and Practice of Operational Risk in Commercial Banks. I BD ARB, Moscow (2006)
Drucker, P.F.: Practice of Management. “Williams” Publishing House, Moscow (2003). Trans. from English
Moscadelli, M.: The modelling of operational risk: experience with the analysis of the data collected by the Basel committee/Banca d’Italia. Temi di discussione del Servizio Studi (2004), 72 pp.
Robbins, S.P., Coulter, M.: Management, 6th edn. “Williams” Publishing House, Moscow (2002), 880 pp. Transl. from English
Russian security. Risk analysis and safety issues: Part 1, 640 pp., Part 2, 752 pp., Part 3, 816 pp., Part 4, 858 pp. Scientific Head of the multivolume edition—K.V. Frolov, Academician; Scientific Editor—N.A. Makhutov, Corr. RAS; co-author—E.D. Solozhentsev. MGF “Knowledge” (2006–2007)
Solojentsev, E., Lebedev, Y.: Logic—probabilistic models of company management unsuccess risk. Math. Econ. Wroclaw 10(40), 3 (2006)
- Logical Probabilistic Models of Banks Operational Risks
E. D. Solozhentsev
- Springer Netherlands
- Chapter 16
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