Bayesian networks for enterprise risk assessment

Arbeitspapier

According to different typologies of activity and priority, risks can assume diverse meanings and it can be assessed in different ways. In general risk is measured in terms of a probability combination of an event (frequency) and its consequence (impact). To estimate the frequency and the impact (severity) historical data or expert opinions (either qualitative or quantitative data) are used. Moreover qualitative data must be converted in numerical values to be used in the model. In the case of enterprise risk assessment the considered risks are, for instance, strategic, operational, legal and of image, which many times are difficult to be quantified. So in most cases only expert data, gathered by scorecard approaches, are available for risk analysis. The Bayesian Network is a useful tool to integrate different information and in particular to study the risk's joint distribution by using data collected from experts. In this paper we want to show a possible approach for building a Bayesian networks in the particular case in which only prior probabilities of node states and marginal correlations between nodes are available, and when the variables have only two states.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Quaderni di Dipartimento - EPMQ ; No. 186

Classification and Topics

• Classification: Wirtschaft
• Subject: Bayesian Networks ; Enterprise Risk Assessment ; Mutual Information ; Risikomanagement ; Bayes-Statistik ; Statistische Methode

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bonafede, Concetto Elvio ; Giudici, Paolo
• Event: Veröffentlichung
• (who): Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ)
• (where): Pavia
• (when): 2006

Further information

• Handle: http://hdl.handle.net/10419/87102
• Last update: 10.03.2025, 11:43 AM CET