Operational Risk And Identification Of Critical Sets In Process-Event Approach


In the paper we are considering an important aspect of process-event modeling: identification and calculation of the probability of critical sets of events leading to increase in the operational risk of an enterprise. We pose operational risk as not a financial but a systemic risk of any economic agent, including enterprises of real sector of economy, trading, banking, social organizations, legal authorities, state administration. Operational risk is released in undesirable events which lead to operational losses. We are describing the enterprises activity as parallel processes consisting of sequence of events. An example of the numerical calculation of operational risk in dynamics and the probabilities of the occurrence of critical sets of events is given, based on real data from the event log, the evolution of the structural model of operational risk as a model of a random Hilbert graph is shown, examples of time diagrams for enterprise’s event flows are given. The offered approach can be used for dynamic economic capital reservation to cover possible losses.

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