Riesgo operacional en la banca trasnacional: un enfoque bayesiano

José Francisco Martínez Sánchez; Francisco Venegas Martínez

doi:10.29105/ensayos32.1-2

Authors

José Francisco Martínez Sánchez
Francisco Venegas Martínez

DOI:

https://doi.org/10.29105/ensayos32.1-2

Keywords:

Riesgo operacional, análisis bayesiano, simulación Monte Carlo.

Abstract

Este trabajo identifica y cuantifica a través de un modelo de red bayesiana (RB) los diversos factores de riesgo operacional (RO) asociados con las líneas de negocio de bancos trasnacionales. El modelo de RB es calibrado mediante datos de eventos que se presentaron en las distintas líneas de negocio, de dichos bancos, durante 2006-2009. A diferencia de los métodos clásicos, la calibración del modelo de RB incluye fuentes de información tanto objetivas como subjetivas, lo cual permite capturar de manera adecuada la interrelación (causa-efecto) entre los diferentes factores de riesgo, lo cual potencializa su utilidad como se muestra en el análisis comparativo que se realiza entre los enfoques RB y clásico.

Clasificación JEL: D81, C11, C15.

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