<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>1665-5346</journal-id>
<journal-title><![CDATA[Revista mexicana de economía y finanzas]]></journal-title>
<abbrev-journal-title><![CDATA[Rev. mex. econ. finanz]]></abbrev-journal-title>
<issn>1665-5346</issn>
<publisher>
<publisher-name><![CDATA[Instituto Mexicano de Ejecutivos de Finanzas A.C.]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1665-53462017000400351</article-id>
<article-id pub-id-type="doi">10.21919/remef.v12i4.233</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[Operational Risk Measured by Bayesian Networks with a Poisson-Gamma Joint Distribution in a Financial Firm]]></article-title>
<article-title xml:lang="es"><![CDATA[Riesgo operacional medido por Redes Bayesianas con una distribución conjunta Poisson-Gamma en una empresa financiera]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Dávila-Aragón]]></surname>
<given-names><![CDATA[Griselda]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Rivas-Aceves]]></surname>
<given-names><![CDATA[Salvador]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Ortiz-Arango]]></surname>
<given-names><![CDATA[Francisco]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Panamericana Escuela de Ciencias Económicas y Empresariales ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,Universidad Panamericana Escuela de Gobierno y Economía ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>12</month>
<year>2017</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>12</month>
<year>2017</year>
</pub-date>
<volume>12</volume>
<numero>4</numero>
<fpage>351</fpage>
<lpage>363</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1665-53462017000400351&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1665-53462017000400351&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1665-53462017000400351&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract: Main objective is to quantifying capital requirements of Operational Risk based on Bayesian inference by using an operational risk advanced measurement model, particularly when historical information is not available for a typical Mexican financial institution. The model employs a conjugated Poisson-Gamma distribution and feeds from experts interviews information so parameters can be measured. Monte Carlo simulations based on an interval for experts expected value of a loss event were generated from which following results were collected: 1) operational risk value can be gotten with insufficient information at a 95% of confidence, 2) expected losses tend to increase when experts expected events increase as well, 3) a positive correlation between operational risk and experts expected events exist, 4) frequency and severity of losses are smaller at the beginning and higher as operational risk value is been approached, then both decrease again. Described results depend highly on assumptions model and experts opinion and information available. Methodology proposed stands for an operational risk advanced measurement, so a specific strategy can be formulated for the firm to avoid losses and therefore operational risk.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen: El objetivo es cuantificar requerimientos de capital y riesgo operacional mediante inferencia bayesiana, mediante un modelo de distribución conjunta Poisson-Gamma alimentado por información de expertos para una institucion financiera mexicana. Simulaciones Monte Carlo basadas en intervalos del valor esperado del evento de perdida muestran que: 1) El valor del riesgo operacional se puede obtener con informacion insuficiente con 95% de confianza, 2) las póerdidas esperadas tienden a aumentar cuando los sucesos que esperan los expertos tambióen se incrementan, 3) hay una correlacioón positiva entre el riesgo operativo y los eventos esperados por los expertos, 4) la frecuencia y severidad de las perdidas son mas pequeñas al principio y luego crecen conforme el valor en riesgo operacional se acerca al óoptimo, despuóes ambos disminuyen nuevamente. Los resultados descritos dependen de los supuestos del modelo así como de la opinión de los expertos y la información disponible al interior de la firma. La metodología propuesta proporciona una medicion avanzada del riesgo operativo, por lo que se puede formular una estrategia específica para que una empresa financiera evite perdidas y asuma riesgo operacional.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[Bayesian Analysis]]></kwd>
<kwd lng="en"><![CDATA[Gamma and Poisson Distributions]]></kwd>
<kwd lng="en"><![CDATA[Operational Risk]]></kwd>
<kwd lng="es"><![CDATA[Análisis bayesiano]]></kwd>
<kwd lng="es"><![CDATA[Distribuciones Gamma y Poisson]]></kwd>
<kwd lng="es"><![CDATA[Riesgo operacional]]></kwd>
</kwd-group>
</article-meta>
</front><back>
<ref-list>
<ref id="B1">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Basel II: International Convergence of Capital Measurement and a Capital Standards: A Revised Framework]]></article-title>
<collab>BIS</collab>
<source><![CDATA[Bank of International ,Settlements (BIS)]]></source>
<year>2005</year>
</nlm-citation>
</ref>
<ref id="B2">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Bühlmann]]></surname>
<given-names><![CDATA[H.]]></given-names>
</name>
<name>
<surname><![CDATA[Gisler]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
</person-group>
<source><![CDATA[A Course in Credibility Theory and its Applications]]></source>
<year>2005</year>
<publisher-loc><![CDATA[Berlin ]]></publisher-loc>
<publisher-name><![CDATA[Springer-Verlag]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B3">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Quantitative Models for Operational Risk: Extremes, Dependence and Aggregation]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Chavez-Deomulin]]></surname>
<given-names><![CDATA[V.]]></given-names>
</name>
<name>
<surname><![CDATA[Embrechts]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
<name>
<surname><![CDATA[Neslehová]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
</person-group>
<source><![CDATA[Journal of Banking and Finance]]></source>
<year>2006</year>
<volume>30</volume>
<numero>10</numero>
<issue>10</issue>
<page-range>2635-58</page-range></nlm-citation>
</ref>
<ref id="B4">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Supply Chain Operational Risk Mitigation: A Collaborative Approach]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Chen]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
<name>
<surname><![CDATA[Amrik]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
<name>
<surname><![CDATA[Prajogo]]></surname>
<given-names><![CDATA[D.]]></given-names>
</name>
</person-group>
<source><![CDATA[International Journal of Production Research]]></source>
<year>2013</year>
<volume>51</volume>
<numero>7</numero>
<issue>7</issue>
<page-range>2186-99</page-range></nlm-citation>
</ref>
<ref id="B5">
<nlm-citation citation-type="">
<collab>Secretaría de Hacienda y Crédito Público</collab>
<source><![CDATA[Circular nica de Bancos (CUB)]]></source>
<year>2005</year>
</nlm-citation>
</ref>
<ref id="B6">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Cause to Effect Operational Risk Quantification and Management. Risk Management]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Chonawee]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
<name>
<surname><![CDATA[Kenyon]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
<name>
<surname><![CDATA[Lucas]]></surname>
<given-names><![CDATA[H.]]></given-names>
</name>
</person-group>
<source><![CDATA[Palgrave Macmillan Journals]]></source>
<year>2006</year>
<volume>8</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>16-42</page-range></nlm-citation>
</ref>
<ref id="B7">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Cruz]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<source><![CDATA[Operational Risk Modelling and Analysis: Theory and Practice]]></source>
<year>2004</year>
<publisher-loc><![CDATA[London ]]></publisher-loc>
<publisher-name><![CDATA[Risk Books]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B8">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Riesgo operacional en el proceso de pago del PROCAMPO: un enfoque Bayesiano]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Martínez-Sánchez]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
<name>
<surname><![CDATA[Venegas-Martínez]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
</person-group>
<source><![CDATA[Revista Contaduría y Administración]]></source>
<year>2013</year>
<volume>58</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>221-59</page-range></nlm-citation>
</ref>
<ref id="B9">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Riesgo operacional en la banca trasnacional: un enfoque Bayesiano]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Martínez-Sánchez]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
<name>
<surname><![CDATA[Venegas-Martínez]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
</person-group>
<source><![CDATA[Ensayos Revista de Economía]]></source>
<year>2013</year>
<volume>32</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>31-72</page-range></nlm-citation>
</ref>
<ref id="B10">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Riesgo operacional en el proceso de liquidación del Mercado Mexicano de Valores: un enfoque Bayesiano]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Martínez-Sánchez]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
<name>
<surname><![CDATA[Venegas-Martínez]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
</person-group>
<source><![CDATA[Investigación Económica]]></source>
<year>2013</year>
<volume>72</volume>
<numero>286</numero>
<issue>286</issue>
<page-range>101-38</page-range></nlm-citation>
</ref>
<ref id="B11">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Riesgo operacional: Un enfoque Bayesiano]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Venegas-Martínez]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
</person-group>
<source><![CDATA[Revista de Estadística, Econometria y Finanzas Aplicadas]]></source>
<year>2006</year>
<volume>4</volume>
<numero>6</numero>
<issue>6</issue>
<page-range>181-93</page-range></nlm-citation>
</ref>
<ref id="B12">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Venegas-Martínez]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
</person-group>
<source><![CDATA[Riesgos financieros y económicos. Productos derivados y decisiones económicas bajo incertidumbre]]></source>
<year>2008</year>
<edition>2</edition>
<publisher-loc><![CDATA[Mexico ]]></publisher-loc>
<publisher-name><![CDATA[Cengage Learning]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B13">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Klugman]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
<name>
<surname><![CDATA[Panjer]]></surname>
<given-names><![CDATA[H.]]></given-names>
</name>
<name>
<surname><![CDATA[Willmot]]></surname>
<given-names><![CDATA[G.]]></given-names>
</name>
</person-group>
<source><![CDATA[Loss Models: From Data to Decisions]]></source>
<year>2012</year>
<publisher-loc><![CDATA[New York ]]></publisher-loc>
<publisher-name><![CDATA[John Wiley & Sons, Inc.]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B14">
<nlm-citation citation-type="journal">
<article-title xml:lang=""><![CDATA[Bayesian Estimation of Truncated Data with Applications to Operational Risk Measurement]]></article-title>
<person-group person-group-type="author">
<name>
<surname><![CDATA[Zhou]]></surname>
<given-names><![CDATA[X.]]></given-names>
</name>
<name>
<surname><![CDATA[Giacometti]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
<name>
<surname><![CDATA[Fabozzi]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
<name>
<surname><![CDATA[Tucker]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
</person-group>
<source><![CDATA[Quantitative]]></source>
<year>2014</year>
<volume>14</volume>
<numero>5</numero>
<issue>5</issue>
<page-range>863-88</page-range></nlm-citation>
</ref>
</ref-list>
</back>
</article>
