scholarly journals THE NEW BASEL ACCORD AND THE NATURE OF RISK: A GAME THEORETIC PERSPECTIVE

2008 ◽  
Vol 04 (01) ◽  
pp. 0850003 ◽  
Author(s):  
VOLKER BIETA ◽  
UDO BROLL ◽  
HELLMUTH MILDE ◽  
WILFRIED SIEBE
Keyword(s):  
Game Theory ◽  
Risk Management ◽  
Simple Game ◽  
Basel Ii ◽  
Behavioral Risk ◽  
Strategic Decisions ◽  
Basel Accord ◽  
Strategic Model ◽  
Model Setting ◽  
Basic Ideas

Basel II changes risk management in banks strongly. Internal rating procedures would lead one to expect that banks are changing over to active risk control. But, if risk management is no longer a simple "game against nature", if all agents involved are active players then a shift from a non-strategic model setting (measuring event risk stochastically) to a more general strategic model setting (measuring behavioral risk adequately) comes true. Knowing that a game is any situation in which the players make strategic decisions — i.e. decisions that take into account each other's actions and responses — game theory is a useful set of tools for better understanding different risk settings. Embedded in a short history of the Basel Accord in this article we introduce some basic ideas of game theory in the context of rating procedures in accordance with Basel II. As well, some insight is given how game theory works. Here, the primary value of game theory stems from its focus on behavioral risk: risk when all agents are presumed rational, each attempting to anticipate likely actions and reactions by its rivals.

Enhancing Cyber Risk Management with the Framework of ERM and Basel II

2011 ◽  
pp. 34-52
Author(s):  
Junji Hiwatashi
Keyword(s):  
Risk Management ◽  
Financial Services ◽  
Financial Stability ◽  
Basel Ii ◽  
Sustainable Growth ◽  
Basel Accord ◽  
Return On Equity ◽  
Customer Base ◽  
Enterprise Risk ◽  
Cyber Risk

Information technology (IT) has been rapidly developed to provide financial services for customers via the Internet. This service is available 24 hours a day, 7 days a week across borders. On the other hand, technology-oriented financial services may face various cyber risks such as disruption caused by natural disasters and terrorist attacks, impersonation and other events stemming from unauthorized access, and theft or alteration of data. Once these events occur, they can affect not only companies such as financial institutions but also their stakeholders (e.g. customers) and financial stability. These events lead to indirect effects such as lawsuits and a bad reputation losing a sound customer base immediately. Thus, it is critical to enhance cyber risk management in advance before the nightmare happens, in order to enjoy the benefits of IT. This chapter introduces practical methods of enhancing cyber risk management efficiently and effectively with the framework of Enterprise Risk Management (ERM) and Basel Accord II (Basel II). It aims to show how to enhance cyber risk management, as well as efficiency, so that sustainable growth is achieved with a balance between risk and return or risk-adjusted return on equity.

RISK AND RISK MANAGEMENT TECHNIQUES OF BANKS: A DETAIL STUDY OF BASEL ACCORD

2017 ◽  
Vol 7 (1) ◽  
Author(s):  
Neetu Singh Yadav
Keyword(s):  
Risk Management ◽  
Research Study ◽  
Secondary Data ◽  
Daily Basis ◽  
International Committee ◽  
Basel Ii ◽  
Risk Measurement ◽  
Primary Data ◽  
Basel Accord ◽  
Management Techniques

Risk measurement and management has become a critical area for each organization in this highly competitive world. Banks and other financial institutes are the most sensitive to various kinds of risk and these institutions are highly involved in financial transaction on daily basis at comparatively much higher volume. In this research study, the researcher has tried to analyze various kinds of risks associated with the banks and their measurement and management techniques. In order to understand conceptual framework and the extent of risk impact on various areas of bank such as market risk, credit risk and operational risk; the Basel II Accord and RBI norms and guidelines are taken as the base. In this research study, all techniques and methods for risk measurement and management are based on as per the guidelines and norms of RBI and the Basel II Accord which is an international committee highly specifically for the risk management in banking systems and operations. The entire research study has divided into 5 chapters and each chapter has sections and sub-sections. The data analysis has done on both primary and secondary data which has been taken from various sources. The final chapter is highly focused to recommendation and conclusion of the complete research study. The case company for this research study is an Indian Public Sector Bank “The Bank of Maharashtra”. The primary data and information has been collected from the internal employees of the case company.

Grid Cyber-Physical System Risk Management Model Based on Cooperative Game Theory

2020 ◽  
Vol 21 (1) ◽  
Author(s):  
Cunbin Li ◽  
Ding Liu ◽  
Yi Wang ◽  
Chunyan Liang
Keyword(s):  
Game Theory ◽  
Risk Management ◽  
Cooperative Game ◽  
Physical System ◽  
Cooperative Game Theory ◽  
Power Grid ◽  
Management Model ◽  
Cyber Physical System ◽  
Model Based ◽  
Generation Power

AbstractAdvanced grid technology represented by smart grid and energy internet is the core feature of the next-generation power grid. The next-generation power grid will be a large-scale cyber-physical system (CPS), which will have a higher level of risk management due to its flexibility in sensing and control. This paper explains the methods and results of a study on grid CPS’s behavior after risk. Firstly, a behavior model based on hybrid automata is built to simulate grid CPS’s risk decisions. Then, a GCPS risk transfer model based on cooperative game theory is built. The model allows decisions to ignore complex network structures. On this basis, a modified applicant-proposing algorithm to achieve risk optimum is proposed. The risk management model proposed in this paper can provide references for power generation and transmission decision after risk as well as risk aversion, an empirical study in north China verifies its validity.

Operational risk management in financial institutions: Process assessment in concordance with Basel II

2007 ◽  
Vol 12 (4) ◽  
pp. 321-330 ◽  
Author(s):  
B. Di Renzo ◽  
M. Hillairet ◽  
M. Picard ◽  
A. Rifaut ◽  
C. Bernard ◽  
...  
Keyword(s):  
Risk Management ◽  
Financial Institutions ◽  
Operational Risk ◽  
Basel Ii ◽  
Process Assessment ◽  
Operational Risk Management

scholarly journals GFC-Robust Risk Management Strategies under the Basel Accord

2010 ◽  
Author(s):  
Michael McAleer ◽  
Juan-Angel Jiménez-Martin ◽  
Teodosio Perez Amaral
Keyword(s):  
Risk Management ◽  
Management Strategies ◽  
Basel Accord ◽  
Risk Management Strategies

Comprehensive Assessment of Behavioral Risk Factors within the Health Risk Management System for Oil Refinery Operators

2021 ◽  
pp. 16-21
Author(s):  
NI Latyshevskaya ◽  
VV Mirochnik ◽  
LA Davydenko ◽  
AI Kireeva ◽  
AV Belyaeva
Keyword(s):  
Risk Factors ◽  
Risk Management ◽  
Health Risk ◽  
Oil Refinery ◽  
Behavioral Risk Factors ◽  
Behavioral Risk ◽  
Age Group ◽  
Volgograd Region ◽  
Comprehensive Health ◽  
Health Risk Management

Summary. Introduction: Comprehensive risk management considering behavioral risk factors is a possible way to minimize adverse health effects of occupational factors. The purpose of the study was assess behavioral risk factors and to develop appropriate measures for preventing occupational diseases in oil refinery operators. Materials and methods: The observation groups included crude oil treatment operators of Ritek LLC in the Volgograd Region located in the subarid climatic zone. The first group consisted of 100 workers under the age of 35 while the second group consisted of 106 workers aged 36-60. Previously published studies were used to substantiate priority occupational risk factors for the operators. To assess lifestyle habits, we conducted a questionnaire-based survey and analyzed data in terms of their statistical significance and real controllability using a multidimensional confirmatory factor analysis. Results: We established that the priority occupational health risks of operators in the climatic conditions of the Volgograd Region included labor severity and intensity (3.1) and hot environment (3.2) posing a high occupational risk of disrupting the thermal state (overheating) of workers. We also identified typical behavioral risk factors, the prevalence and quantitative burden of which was age-specific. In the younger age group, bad habits and poor healthcare activity (reluctance to seek medical advice) generated the highest burdens (943 conditional units each) while in the older age group, major burdens were generated by bad habits and malnutrition (849 and 501 units, respectively). The developed mathematical model proved that a comprehensive health risk management for workers exposed to occupational hazards is feasible by correcting certain behavioral risk factors: a 10 % and 50 % decrease in the burden of bad habits and poor healthcare activity led to a 1.1 and 1.5-fold decrease in the extent of health risk, respectively. Conclusion: The study revealed the most significant behavioral risk factors affecting health of oil refinery operators and substantiated options of the most optimal interaction between the elements of the system reducing the overall risk to human health. Comprehensive health risk management based on optimal interaction of system elements (both occupational and behavioral risk factors) reduces health risks for oil refinery operators.

scholarly journals Risk management of risk under the Basel Accord: forecasting value‐at‐risk of VIX futures

2011 ◽  
Vol 37 (11) ◽  
pp. 1088-1106 ◽  
Author(s):  
Chia‐lin Chang ◽  
Juan‐Ángel Jiménez‐Martín ◽  
Michael McAleer ◽  
Teodosio Pérez‐Amaral
Keyword(s):  
At Risk ◽  
Risk Management ◽  
Value At Risk ◽  
Basel Accord ◽  
Vix Futures ◽  
Management Of Risk
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