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I studied FRM materials and got an indea last night. It is hard to define the operational risk of financial institutes, in fact, any institutes. But a multi-agent system might be a good choice to simulate operational risk. Blow is a rough idea:
To simulate operational risk in Department A, which has
1 department head, 10 traders, 2 risk managers, 5 back office
defined communication lines:
deapertment head to everyone: 17
traders cross: 10x9=90
traders to risk managers: 10x2=20
traders to back office have no full route: 15
risk managers to back office: 2x5=10
defined probability of error of each person and each lines
defined potential loss of each person when he/she failed to perform unintentionally
defined probability of intentional error of each person
defined potential loss of each person when he/she failed to perform intentionally
We can now start to simulate. This model is too simple for any existing environment. We can have the PCs, telecomm lines, and any equipments into the model. Also external events and entities. If we got 500 persons and 10000 entities, we still can do it use MAS.
Let it be my next project.