A novel dynamical model for the study of operational risk in banks and suitable for the calculation of the Value at Risk (VaR) is proposed. The equation of motion takes into account the interactions among different bank's processes, the spontaneous generation of losses via a noise term and the...

We propose a dynamical model for the estimation of Operational Risk in banking institutions. Operational Risk is the risk that a financial loss occurs as the result of failed processes. Examples of operational losses are the ones generated by internal frauds, human errors or failed transactions....

We propose a dynamical model for the estimation of Operational Risk in banking institutions. Operational Risk is the risk that a financial loss occurs as the result of failed processes. Examples of operational losses are the ones generated by internal frauds, human errors or failed transactions....

A clustering procedure is introduced based on the Hausdorff distance as a similarity measure between clusters of elements. The method is applied to the financial time series of the Dow Jones industrial average (DJIA) index to find companies that share a similar behavior. Comparisons are made...

A clustering algorithm based on the Hausdorff distance is analyzed and compared to the single, complete, and average linkage algorithms. The four clustering procedures are applied to a toy example and to the time series of financial data. The dendrograms are scrutinized and their features...

A novel dynamical model for the study of operational risk in banks and suitable for the calculation of the Value at Risk (VaR) is proposed. The equation of motion takes into account the interactions among different bank's processes, the spontaneous generation of losses via a noise term and the...

A clustering procedure, based on the Hausdorff distance, is introduced and tested on the financial time series of the Dow Jones Industrial Average (DJIA) index.

A system for Operational Risk management based on the computational paradigm of Bayesian Networks is presented. The algorithm allows the construction of a Bayesian Network targeted for each bank and takes into account in a simple and realistic way the correlations among different processes of...