시뮬레이션 기법을 이용한 운영리스크 평가

• 영문명: Simulation-Based Operational Risk Assessment
• 발행기관: 한국IT서비스학회
• 저자명: 황명수(Myung-Soo Hwang) 이영재(Young-Jai Lee)
• 간행물 정보: 『한국IT서비스학회지』한국SI학회지 제4권 제1호, 129~139쪽, 전체 11쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 2005.05.01

영문 초록

This paper proposes a framework of Operational Risk-based Business Continuity System(ORBCS), and develops protection system for operational risk through operational risk assessment and loss distribution approach based on risk management guideline announced in the basel Ⅱ. In order to find out financial operational risk, business processes of domestic bank are assorted by seven event factors and eight business activities so that we can construct the system. After we find out KRI(Key Risk Indicator) index, tasks and risks, we calculated risk possibility and expected cost by analyzing quantitative data, questionnaire and qualitative approach for AHP model from the past events. Furthermore, we can assume unexpected cost loss by using loss distribution approach presented in the basel Ⅱ. Each bank can also assume expected loss distributions of operational risk by seven event factors and eight business activities. In this research, we choose loss distribution approach so that we can calculate operational risk. In order to explain number of case happened, we choose poisson distribution, log-normal distribution for loss cost, and estimate model for Monte-Carlo simulation. Through this process which is measured by operational risk of ABC bank, we find out that loss distribution approach explains closer unexpected cost directly compared than internal measurement approach, and makes less unexpected cost loss.

목차

Abstract

1. 서 론

2. ORBCS Framework

3. 손실분포법에 의한 시뮬레이션

4. 손실분포법을 이용한 ABC 은행사례

5. 결 론

참고문헌

저자소개