Volume 9, Issue 2 (9-2023)
mmr 2023, 9(2): 171-189 |
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Rasooli M, Fariborzi Araghi M A, Damercheli T. Solving partial integro-differential equation related to operational risk by applying the finite differences method. mmr 2023; 9 (2) :171-189
URL: http://mmr.khu.ac.ir/article-1-3145-en.html
URL: http://mmr.khu.ac.ir/article-1-3145-en.html
1- Islamic Azad university, Central Tehran branch
2- Islamic Azad university, Central Tehran branch , fariborzi.araghi@gmail.com
3- Islamic Azad university, Shahre-Rey branch
2- Islamic Azad university, Central Tehran branch , fariborzi.araghi@gmail.com
3- Islamic Azad university, Shahre-Rey branch
Abstract: (368 Views)
Operational risk is one of the identified risks in organizations, especially in banks, and Basel committees on banking supervision pay special attention to it. In this paper, the mathematical model based on the advanced operational risk model is considered to calculate the probability of survive as a partial Volterra integro-differentail equation. This equation has been solved numerically by applying the finite differences method with trapezoidal rule to estimate its integral part and the effect of changing the model parameters on the output of the problem has been investigated. In addition, the stability and convergence of the method are discussed and its numerical results are presented.
Keywords: Operational risk, partial integro-differential equation, finite differences, Stability, Convergence
Type of Study: S |
Subject:
Anal
Received: 2020/10/23 | Revised: 2024/02/17 | Accepted: 2022/02/6 | Published: 2023/12/3 | ePublished: 2023/12/3
Received: 2020/10/23 | Revised: 2024/02/17 | Accepted: 2022/02/6 | Published: 2023/12/3 | ePublished: 2023/12/3
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