SYSTEMS, METHODS AND DEVICES FOR MODELLING OPERATIONAL RISK
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United States of America Patent
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Issued Date -
May 4, 2017
app pub date -
Oct 29, 2015
filing date -
Oct 29, 2015
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Abstract
Methods for modelling operational risk can includes: retrieving external loss data from at least one external data source; retrieving internal loss data from at least one internal data source; generating, with at least one processor, mapped loss data by mapping the internal and external loss data by at least one of: source, unit and time period for unit-of-measure processing; storing the mapped loss data in at least one memory; conducting, with the at least one processor, model parameterization and exploratory data analysis on the mapped loss data to generate loss models based on the mapping; performing a simulation across the loss models to convolve frequency and severity components into an aggregate loss distribution; storing the aggregate loss distribution in the at least one memory; and producing a measure of operational risk based on the aggregate loss distribution.
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