Endre søk
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
Modelling IT risk in banking industry: A study on how to calculate the aggregate loss distribution of IT risk
Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Företagsekonomi. Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.
2017 (engelsk)Independent thesis Advanced level (degree of Master (One Year)), 20 poäng / 30 hpOppgave
Abstract [en]

Background: Lack of internal data makes some operational risks hard to calculate with quantitative models. This is true for the IT risk or the risk that a bank will experience losses caused by IT System and Infrastructure failure. IT systems and infrastructure are getting more predominant and important in the banking industry which makes the IT risk even more important to quantify. 

Purpose: The aim of this thesis is to find an appropriate way of modelling IT risk for the banking industry. The purpose is to test different models constructed according to the Loss Distribution Approach and observe which models work best at quantifying the IT risk for the banking industry. The reason to quantifying the IT risk using the Loss Distribution Approach for the whole industry is because individual banks do not have enough internal data to do so themselves. There is still a need for a quantitative understanding of this risk and an industry level quantification will help visualize the IT risk exposure banks face today. 

Method: In order to find an appropriate way of modelling the IT risk in the banking industry, this paper tries different models constructed using the Loss Distribution Approach. These different models were categorized into two different methods referred to as Method one and Method two. Method one is the simple Loss Distribution Approach to modelling this IT risk and Method two twists this approach by modelling the severity distribution with a hybrid distribution. 

Conclusion: In general terms, method two were found to be the best method to use for modelling the IT risk. Hybrid distribution models do a better job at estimating rare events with high severity and are, therefore, good models to use for quantifying the IT risk. A LDA model using Poisson as a frequency distribution and a Pareto tail and Log-logistic body as a severity distribution were the best model to use for modelling IT risk in the banking industry. 

sted, utgiver, år, opplag, sider
2017. , s. 58
Emneord [en]
Operational risk, IT risk, Loss Distribution Approach, Monte Carlo simulation, Quantitative Modelling, LDA
HSV kategori
Identifikatorer
URN: urn:nbn:se:hj:diva-35773ISRN: JU-IHH-FÖA-2-20170392OAI: oai:DiVA.org:hj-35773DiVA, id: diva2:1106285
Eksternt samarbeid
Handelsbanken
Veileder
Examiner
Tilgjengelig fra: 2017-06-22 Laget: 2017-06-07 Sist oppdatert: 2017-06-22bibliografisk kontrollert

Open Access i DiVA

Isaksson(1924 kB)161 nedlastinger
Filinformasjon
Fil FULLTEXT01.pdfFilstørrelse 1924 kBChecksum SHA-512
88ff7dbc60e5eb47ad87d75cd025a5203ea070ed16b8b3f43e6bafab99bf266234153dd34b6741226c3a2d574e7febd4c9432b301ab6c87da27a65b06a3796f5
Type fulltextMimetype application/pdf

Søk i DiVA

Av forfatter/redaktør
Isaksson, Didrik
Av organisasjonen

Søk utenfor DiVA

GoogleGoogle Scholar
Totalt: 161 nedlastinger
Antall nedlastinger er summen av alle nedlastinger av alle fulltekster. Det kan for eksempel være tidligere versjoner som er ikke lenger tilgjengelige

urn-nbn

Altmetric

urn-nbn
Totalt: 605 treff
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf