In this paper, the large deviation approach for computing the capital charge for operational risk of a bank is explored. Firstly, the negatively-associated structure is utilized to measure the dependence between distinct operational loss cells. Secondly, the lower and upper bounds of the tail distribution function of total aggregated loss processes are determined. In addition, first order appro...

of the Paper Information Technology (IT) has got tremendous potential for enhancing the operational efficiency of banks and strengthening their risk management capability, particularly credit risk management. Taking the case of Old Private sector Banks (OPBs) in Kerala state, this paper seeks to analyse the role of IT in improving their net interest margin (NIM) and non-interest margin (NOM), t...

Abstract This paper describes the use of Bayesian networks (BNs) to model the operational risk to information technology (IT) infrastructure in financial and other institutions. We describe a methodology for modeling financial losses that might result from operational risk scenarios involving data centers and operational locations, applications and systems, processes, and ultimately IT supporte...

Risk Management is common to projects and operations, the two major phases in the product's lifecycle, but is practiced independently and almost disconnectedly in these two domains. Unfortunately, current risk management methodologies hardly address the problem of risk transition from projects to operations, during the product's transition from the former phase to the latter, or vice versa. Pro...

the main goal in carrying out this paper was to investigate the impacts of government’s support policies on income risk of egg producers in iran during years 1989-2008. index ccv, was employed to assess the variation in income of the producers. the results revealed that, market price support along with the overall support policies lead to a lowering of the percentage variations in income risk o...

Cyber risks are an important point on the business agenda in every company, but they are difficult to assess due to the absence of reliable data and profound analyses. To improve this situation, we identify cyber losses from an operational risk database and analyze these with methods from the field of actuarial science. Specifically, we apply operational risk models in order to yield consistent...

background/objective: musculoskeletal disorders (msds) are one of the most common causes of occupational injuries. this study was conducted with the objectives of determination of prevalence rate of msds and ergonomics assessment of the risk of msds among workers of a petrochemical company. methods: in this study, 261randomly selected workers in a petrochemical company with at least one year of...