Μοντέλα πιθανοτήτων για την περιγραφή λειτουργικών κινδύνων
Probability models for operational risk
Πάχου, Ειρήνη Ι.
KeywordsΣτατιστική ανάλυση ; Στατιστικές μέθοδοι ; Διαχείριση κινδύνου ; Λειτουργικός κίνδυνος ; Οικονομικά μεγέθη ; Οικονομετρικά υποδείγματα ; Πιθανότητες
Operational risk refers to the risk (probability) of an organization (bank, insurance company, etc.) to suffer damages due to insufficient or failed internal processes, human actions and systems or from external events. For the assessment of operational risk it is necessary to evaluate various risk measures such as Value at Risk, Expected Shortfall, etc. The evaluation of these indices requires the fitting of appropriate probability models which, in most cases, do not belong to the classical statistical models . The present MSc thesis will present the methodologies to be followed for the assessment of the necessary capital to cover operational risk (Basic Approach, Standardized Approach, Advanced Measurement Approach). We shall highlight the need for generalization of the classical models in order to have an adequate description of economic and other parameters related to operational risks. Then we shall present various distributions which can describe satisfactorily the distributions of variables related to operational risks. The methodology used to estimate the parameters of these distributions will also be presented. Finally, we shall illustrate the use of these techniques in the analysis of a real dataset.