OPERATIONAL RISK IN THE SETTLEMENT PROCESS OF THE MEXICAN STOCK MARKET: A BAYESIAN APPROACH
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Abstract
This paper identifies and quantifies diverse operational-risk (OR) factors in the settlement process of the Mexican stock market through a Bayesian network (BN). The bn model is calibrated with data from events that occurred in the settlement process at the Instituto de Depósito de Valores (INDEVAL) from 2007 to 2010, and with additional information obtained from experts at the Institute. Unlike traditional methods, the BN model calibration uses both objective and subjective information sources to express the relationship between risk factors (cause and effect), strengthening its usefulness as shown in the comparative analysis carried out on BN and traditional approaches. It is important to mention that the proposed Bayesian approach is consistent in the sense of Artzner (1998).
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How to Cite
Martínez-Hernández, J. F., & Venegas-Martínez, F. (2015). OPERATIONAL RISK IN THE SETTLEMENT PROCESS OF THE MEXICAN STOCK MARKET: A BAYESIAN APPROACH. Investigación Económica, 72(286). Retrieved from https://revistas.unam.mx/index.php/rie/article/view/50500
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