Application of Volterra integral equation in operational risk management; Investigating the possibility of bank survival by risk reserve and initial capital

Operational risk is one of the influential risks identified in banks by practitioners, and as international banking supervisor, the Basel committee has paid special attention to it. There are various methods for measuring and managing this type of banking risk, for example, the advanced measurement method. In this paper, using the advanced approach, the probability of bank survival is computed a partial Volterra integro differential equation.

کلیدواژه ها:

Operational risk ، Volterra integro differential equation ، Survival probability