Modelos causais no cálculo de capital para risco operacionalinvestigação do uso de redes neurais artificiais como modelo avançado de mensuração de capital

Resumo

The operational risk management and measurement is an increasing concern throughout the community of financial institutions. The adequate choice of the operational risk capital calculation model can become a competitive differential. This study presents the advantages of adopting causal models for operational risk management and measuring. The investigation of the Artificial Neural Networks application for this purpose shows that the causal model results in capital amounts more aligned to the financial institution’s risk exposure. Furthermore, there is the advantage that, as more risk sensible the capital calculation methodology is, higher will be the incentive for an appropriate risk management in the day-today institution’s business. This not only reduces the needs for capital allocation, but also decreases the expected losses. Therefore, the results are positive and encourage future researches about this subject.

Ficha do documento

Tipo

Dissertação

Ano

2010

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/4299

Temas

Economia

Palavras-chave

Modelo causalRisco operacionalRedes neurais artificiaisOperational riskCausal modelArtificial neural networksEconomiaAdministração de risco - Métodos de simulaçãoRisco (Economia)Redes neurais (Computação)Instituições financeiras - Administração