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1、ModellingOperationalRiskUsingBayesianInferencePavelV.ShevchenkoModellingOperationalRiskUsingBayesianInference123Dr.PavelV.ShevchenkoCSIROMathematics,InformaticsandStatisticsLockedBag17,NorthRydeNSW,1670Australiapavel.shevchenko@csiro.auISBN978-3-642-15922-0e-ISBN978-3-642-15923-
2、7DOI10.1007/978-3-642-15923-7SpringerHeidelbergDordrechtLondonNewYorkLibraryofCongressControlNumber:2010938383cSpringer-VerlagBerlinHeidelberg2011Thisworkissubjecttocopyright.Allrightsarereserved,whetherthewholeorpartofthematerialisconcerned,speciÞcallytherightsoftranslation,re
3、printing,reuseofillustrations,recitation,broadcasting,reproductiononmicroÞlmorinanyotherway,andstorageindatabanks.DuplicationofthispublicationorpartsthereofispermittedonlyundertheprovisionsoftheGermanCopyrightLawofSeptember9,1965,initscurrentversion,andpermissionforusemustalways
4、beobtainedfromSpringer.ViolationsareliabletoprosecutionundertheGermanCopyrightLaw.Theuseofgeneraldescriptivenames,registerednames,trademarks,etc.inthispublicationdoesnotimply,evenintheabsenceofaspeciÞcstatement,thatsuchnamesareexemptfromtherelevantprotectivelawsandregulationsand
5、thereforefreeforgeneraluse.Coverdesign:WMXDesignGmbH,HeidelbergPrintedonacid-freepaperSpringerispartofSpringerScience+BusinessMedia(www.springer.com)Dedicatedtomywife,daughterandparentsPrefaceYoudontwritebecauseyouwanttosaysomething,youwritebecauseyouhavesomethingtosay.F.ScottFi
6、tzgeraldThemanagementofoperationalriskinthebankingindustryhasundergonesig-niÞcantchangesoverthelastdecadeduetosubstantialchangesintheoperationalenvironment.Globalization,deregulation,theuseofcomplexÞnancialproductsandchangesininformationtechnologyhaveresultedinexposuretonewrisks
7、verydif-ferentfrommarketandcreditrisks.Inresponse,theBaselCommitteeonBankingSupervision(BCBS)hasdevelopedanewregulatoryframeworkforcapitalmea-surementandstandardsforthebankingsector,referredtoasBaselII,aimedatsoundrisksensitivecapitalrequirements.BaselIIformallydeÞnedoperational
8、riskandintroducedcorrespondingcapitalrequiremen
