BUSINESS INFORM №10-2016

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21

Section: Economic and Mathematical Modeling
UDC 519.86+336.71
Kushnir O. S.
Implementing a Mathematical Model for Determining the Level of Operational Risk of Credit Institution (p. 135 - 143)
The article is concerned with building and testing a mathematical model to assess the operational risk of bank. In order to determine the level of operational risk of commercial bank, a technique based on the combination of fuzzy-multiple and probabilistic (bayesian) approaches has been proposed. In terms of the proposed technique, key factors of occurrence of operational risk of credit institution have been determined and substantiated. The model implementation has been materialized on the example of one of the Ukrainian banks. The developed model is universal and can be used for calculating operational risks in any given credit institution. Calculations for this model can be conducted by both a risks manager and the committee for supervision of banking risks.
Keywords: bank, operational risk, mathematical model, factor, risk level, regression analysis, binary specifications
Fig.: 3. Tabl.: 7. Formulae: 3. Bibl.: 6.

Kushnir Olexander S. – Postgraduate Student, Department of Economic Cybernetics, Vasyl Stefanyk Precarpathian National University (57 Shevchenka Str., Ivano-Frankіvsk, 76018, Ukraine)
Email: [email protected]

Article is written in Ukrainian
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Reference to this article:
Kushnir, Olexander S. (2016) “Implementing a Mathematical Model for Determining the Level of Operational Risk of Credit Institution.” Business Inform 10:135–143.

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