| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10482193 | Physica A: Statistical Mechanics and its Applications | 2012 | 15 Pages |
Abstract
⺠We present a dynamical model suitable to forecast operational losses in banks. ⺠Losses can be spontaneous or triggered by losses occurred in other processes. ⺠The parameters can be learned from a database of historical operational losses. ⺠We find the exact solution of the model in the case of no causal loops. ⺠We show that the model has a very good forecasting capability.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
M. Bardoscia, R. Bellotti,