283 citations · 950 across the 16 of their papers we have counts for
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q-fin.RM2010★ 2 cited
A Dynamical Model for Forecasting Operational Losses
Marco Bardoscia, Roberto Bellotti
A novel dynamical model for the study of operational risk in banks and suitable for the calculation of the Value at Risk (VaR) is proposed. The equation of motion takes into accoun…
q-fin.RM2010
Spin Glass Model of Operational Risk
M. Bardoscia, P. Facchi, S. Pascazio +1
We analyze operational risk in terms of a spin glass model. Several regimes are investigated, as a functions of the parameters that characterize the dynamics. The system is found t…