Un análisis del riesgo operacional en la banca internacional: un enfoque bayesiano (2007-2011)
This study aims to develop a Bayesian methodology to identify, quantify and measure operational risk in several business lines of commercial banking. To do this, a Bayesian network (BN) model is designed with prior and subsequent distributions to estimate the frequency and severity. Regarding the su...
- Autores:
-
Venegas Martínez, Francisco
Martínez Palaciosa, María Teresa V.
Martínez Sáncheza, José Francisco
- Tipo de recurso:
- Article of investigation
- Fecha de publicación:
- 2016
- Institución:
- Universidad ICESI
- Repositorio:
- Repositorio ICESI
- Idioma:
- spa
- OAI Identifier:
- oai:repository.icesi.edu.co:10906/80955
- Acceso en línea:
- http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/2299
https://hdl.handle.net/10906/80955
http://biblioteca2.icesi.edu.co/cgi-olib/?infile=details.glu&loid=303568&rs=319429&hitno=-1
https://doi.org/10.1016/j.estger.2016.06.004
- Palabra clave:
- Agricultura
Innovación
Métodos de simulación
- Rights
- openAccess
- License
- http://creativecommons.org/licenses/by-nc-nd/4.0/
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| dc.title.spa.fl_str_mv |
Un análisis del riesgo operacional en la banca internacional: un enfoque bayesiano (2007-2011) |
| dc.title.alternative.spa.fl_str_mv |
An analysis on operational risk in international banking: A Bayesian approach (2007–2011) |
| title |
Un análisis del riesgo operacional en la banca internacional: un enfoque bayesiano (2007-2011) |
| spellingShingle |
Un análisis del riesgo operacional en la banca internacional: un enfoque bayesiano (2007-2011) Agricultura Innovación Métodos de simulación |
| title_short |
Un análisis del riesgo operacional en la banca internacional: un enfoque bayesiano (2007-2011) |
| title_full |
Un análisis del riesgo operacional en la banca internacional: un enfoque bayesiano (2007-2011) |
| title_fullStr |
Un análisis del riesgo operacional en la banca internacional: un enfoque bayesiano (2007-2011) |
| title_full_unstemmed |
Un análisis del riesgo operacional en la banca internacional: un enfoque bayesiano (2007-2011) |
| title_sort |
Un análisis del riesgo operacional en la banca internacional: un enfoque bayesiano (2007-2011) |
| dc.creator.fl_str_mv |
Venegas Martínez, Francisco Martínez Palaciosa, María Teresa V. Martínez Sáncheza, José Francisco |
| dc.contributor.author.spa.fl_str_mv |
Venegas Martínez, Francisco Martínez Palaciosa, María Teresa V. Martínez Sáncheza, José Francisco |
| dc.subject.proposal.spa.fl_str_mv |
Agricultura Innovación Métodos de simulación |
| topic |
Agricultura Innovación Métodos de simulación |
| description |
This study aims to develop a Bayesian methodology to identify, quantify and measure operational risk in several business lines of commercial banking. To do this, a Bayesian network (BN) model is designed with prior and subsequent distributions to estimate the frequency and severity. Regarding the subsequent distributions, an inference procedure for the maximum expected loss, for a period of 20 days, is carried out by using the Monte Carlo simulation method. The business lines analyzed are marketing and sales, retail banking and private banking, which all together accounted for 88.5% of the losses in 2011. Data was obtained for the period 2007–2011 from the Riskdata Operational Exchange Association (ORX), and external data was provided from qualified experts to complete the missing records or to improve its poor quality. |
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2016 |
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2016-07-01 |
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2017-02-03T19:32:16Z |
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2017-02-03T19:32:16Z |
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http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/2299 |
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https://hdl.handle.net/10906/80955 |
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https://doi.org/10.1016/j.estger.2016.06.004 |
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spa |
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spa |
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ESTUDIOS GERENCIALES, Vol. 32 No. 140 - Julio/Septiembre 2016 |
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208 |
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Atribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0) |
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2 páginas |
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Digital |
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Cali de Lat: 03 24 00 N degrees minutes Lat: 3.4000 decimal degrees Long: 076 30 00 W degrees minutes Long: -76.5000 decimal degrees. |
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Universidad Icesi |
| dc.publisher.faculty.spa.fl_str_mv |
Facultad de Ciencias Administrativas y Económicas |
| dc.publisher.program.spa.fl_str_mv |
Economía |
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Departamento de Economía |
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Santiago de Cali |
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Universidad ICESI |
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Venegas Martínez, FranciscoMartínez Palaciosa, María Teresa V.Martínez Sáncheza, José FranciscoCali de Lat: 03 24 00 N degrees minutes Lat: 3.4000 decimal degrees Long: 076 30 00 W degrees minutes Long: -76.5000 decimal degrees.2017-02-03T19:32:16Z2017-02-03T19:32:16Z2016-07-010123-5923http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/2299https://hdl.handle.net/10906/80955http://biblioteca2.icesi.edu.co/cgi-olib/?infile=details.glu&loid=303568&rs=319429&hitno=-1https://doi.org/10.1016/j.estger.2016.06.004instname:Universidad Icesireponame:Biblioteca Digitalrepourl:https://repository.icesi.edu.co/This study aims to develop a Bayesian methodology to identify, quantify and measure operational risk in several business lines of commercial banking. To do this, a Bayesian network (BN) model is designed with prior and subsequent distributions to estimate the frequency and severity. Regarding the subsequent distributions, an inference procedure for the maximum expected loss, for a period of 20 days, is carried out by using the Monte Carlo simulation method. The business lines analyzed are marketing and sales, retail banking and private banking, which all together accounted for 88.5% of the losses in 2011. Data was obtained for the period 2007–2011 from the Riskdata Operational Exchange Association (ORX), and external data was provided from qualified experts to complete the missing records or to improve its poor quality.2 páginasDigitalspaUniversidad IcesiFacultad de Ciencias Administrativas y EconómicasEconomíaDepartamento de EconomíaSantiago de CaliESTUDIOS GERENCIALES, Vol. 32 No. 140 - Julio/Septiembre 2016208220EL AUTOR, expresa que la obra objeto de la presente autorización es original y la elaboró sin quebrantar ni suplantar los derechos de autor de terceros, y de tal forma, la obra es de su exclusiva autoría y tiene la titularidad sobre éste. PARÁGRAFO: en caso de queja o acción por parte de un tercero referente a los derechos de autor sobre el artículo, folleto o libro en cuestión, EL AUTOR, asumirá la responsabilidad total, y saldrá en defensa de los derechos aquí autorizados; para todos los efectos, la Universidad Icesi actúa como un tercero de buena fe. Esta autorización, permite a la Universidad Icesi, de forma indefinida, para que en los términos establecidos en la Ley 23 de 1982, la Ley 44 de 1993, leyes y jurisprudencia vigente al respecto, haga publicación de este con fines educativos. Toda persona que consulte ya sea la biblioteca o en medio electrónico podrá copiar apartes del texto citando siempre la fuentes, es decir el título del trabajo y el autor.http://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessAtribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0)http://purl.org/coar/access_right/c_abf2Un análisis del riesgo operacional en la banca internacional: un enfoque bayesiano (2007-2011)An analysis on operational risk in international banking: A Bayesian approach (2007–2011)Comunidad Universidad Icesi - Investigadores32140AgriculturaInnovaciónMétodos de simulaciónhttp://purl.org/coar/resource_type/c_2df8fbb1Artículoinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/version/c_970fb48d4fbd8a85info:eu-repo/semantics/articleCC-LICENSElicense_urllicense_urltext/plain49https://repository.icesi.edu.co/bitstreams/5f9b8cec-cf95-7785-e053-2cc003c84dc5/download4afdbb8c545fd630ea7db775da747b2fMD52license_textlicense_textapplication/octet-stream0https://repository.icesi.edu.co/bitstreams/5f9b8cec-cf96-7785-e053-2cc003c84dc5/downloadd41d8cd98f00b204e9800998ecf8427eMD53license_rdflicense_rdfapplication/octet-stream0https://repository.icesi.edu.co/bitstreams/5f9b8cec-cf97-7785-e053-2cc003c84dc5/downloadd41d8cd98f00b204e9800998ecf8427eMD54ORIGINALDocumento.htmlDocumento.htmltext/html297https://repository.icesi.edu.co/bitstreams/83de437b-9548-42c4-9648-7814a359e194/download68df832b57cc7ba65df241c325328e74MD5610906/80955oai:repository.icesi.edu.co:10906/809552025-03-13 14:19:11.224http://creativecommons.org/licenses/by-nc-nd/4.0/Atribución-NoComercial-SinDerivadas 4.0 Internacional (CC BY-NC-ND 4.0)open.accesshttps://repository.icesi.edu.coBiblioteca Digital - Universidad Icesiadquisicion-bib@listas.icesi.edu.co |