Medición del riesgo operativo en una sucursal bancaria de la ciudad de Bucaramanga, una aplicación de Redes Bayesianas

Abstract

The objective of this research was to quantify the operational risk in the Retail Banking business line of a bank branch in the city of Bucaramanga, which made it possible to know a detail of a methodology based on bottom-up approaches to estimate the operational or operational risk in Bank entities. For the above, four study categories were defined according to the Basel committee to measure the operational risk in the chosen branch, they were: Internal Fraud, External Fraud, Management and Execution of Processes, and System Failures and Business Interruption. The mentioned approaches were: Bayesian networks that correspond to the causal model classification, and loss distributions that belong to statistical models, which were simulated using the Monte Carlo method. The data required to feed the developed models were obtained through quantitative valuations in the form of a priori and conditional probabilities by the beliefs of specialists in Operational Risk in banking entities, and by professionals who have had experiences and provide their services in bank branches. such as the one analyzed in the present investigation.