According to different typologies of activity and priority, risks can assume diverse meanings and it can be assessed in different ways. Risk, in general, 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 or bounds 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 Networks (BNs) are 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 BN 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.

Bayesian networks for enterprise risk assessment

GIUDICI, PAOLO STEFANO;BONAFEDE, CONCETTO ELVIO
2007

Abstract

According to different typologies of activity and priority, risks can assume diverse meanings and it can be assessed in different ways. Risk, in general, 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 or bounds 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 Networks (BNs) are 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 BN 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.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11571/35059
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