Analysis of operational risk of banks – catastrophe modelling

Nowadays financial institutions due to regulation and internal motivations care more intensively on their risks. Besides previously dominating market and credit risk new trend is to handle operational risk systematically. Operational risk is the risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. First we show the basic features of operational risk and its modelling and regulatory approaches, and after we will analyse operational risk in an own developed simulation model framework. Our approach is based on the analysis of latent risk process instead of manifest risk process, which widely popular in risk literature. In our model the latent risk process is a stochastic risk process, so called Ornstein- Uhlenbeck process, which is a mean reversion process. In the model framework we define catastrophe as breach of a critical barrier by the process. We analyse the distributions of catastrophe frequency, severity and first time to hit, not only for single process, but for dual process as well. Based on our first results we could not falsify the Poisson feature of frequency, and long tail feature of severity. Distribution of “first time to hit” requires more sophisticated analysis. At the end of paper we examine advantages of simulation based forecasting, and finally we concluding with the possible, further research directions to be done in the future.

Az ellátási lánc disztribúció oldalának menedzsment eszközei – empirikus elemzés = Management tools of the demand chain – an empirical analysis

A tanulmány célja, hogy bemutassa a Magyarországon működő vállalatok gyakorlatát az ellátási lánc disztribúció oldalának menedzsmentje területén egy empirikus kutatás eredményeinek segítségével. A dolgozat két részből épül fel. Az első részben egy elméleti áttekintés olvasható azokról a menedzsment eszközökről, amelyeket a vállalatok disztribúciós folyamataik során alkalmazhatnak az ellátási láncban. A második rész az empirikus kutatás eredményeit mutatja be. A felmérés során 92 vállalat (amelyből az elemzésbe 79 volt ténylegesen bevonható) vett részt, és válaszaik és a statisztikai elemzés alapján kirajzolódik egy kép, hogy milyen mértékben alkalmazzák a disztribúciós lánc menedzsment eszközeit, valamint milyen fejlettségi szintek különböztethetők meg az alkalmazás volumene alapján. = Aim of the paper is to present the operational practice of Hungarian companies in managing the distribution side of the supply chain (the demand chain), with the help of the results of an empirical research. The paper consists of two parts. In the first part, a literature review is presented about the management tools which companies may use while managing their distribution processes in the supply chain. In the second part I introduce the results of the empirical research. The survey was participated by 92 companies (of which 79 could be analysed) and according to their responses and the statistical analyses, a picture was formulated about how intensely they use the demand chain management tools, how developed they are in the application of those.

The impact of external market factors on operational practices and performance of companies

The links between operational practices and performance are well studied in the literature, both theoretically and empirically. However, mostly internal factors are inspected more closely as the basis of operational performance, even if the impact of external, environmental factors is often emphasized. Our research fills a part of this existing gap in the literature. We examine how two environmental factors, market dynamism and competition impact the use of some operational practices (such as quality improvement, product development, automation, etc.) and the resulting operations and business performance. The method of path analysis is used. Data were acquired through an international survey (IMSS – International Manufacturing Strategy Survey), which was executed in 2005, in 23 participating countries in so called "innovative" industries (ISIC 28-35) with a sample of 711 firms. Results show that both market dynamism and competition have large impact on business performance, but the indirect effects, through operations practices are rather weak compared to direct ones. The most influential practices are from the area of process and control, and quality management.

Facets of operational performance in an emergency room (ER)

This paper, using detailed time measurements of patients complemented by interviews with hospital management and staff, examines three facets of an emergency room's (ER) operational performance: (1) effectiveness of the triage system in rationing patient treatment; (2) factors influencing ER's operational performance in general and the trade-offs in flow times, inventory levels (that is the number of patients waiting in the system), and resource utilization; (3) the impacts of potential process and staffing changes to improve the ER's performance. Specifically, the paper discusses four proposals for streamlining the patient flow: establishing designated tracks (fast track, diagnostic track), creating a holding area for certain type of patients, introducing a protocol that would reduce the load on physicians by allowing a registered nurse to order testing and treatment for some patients, and potentially and in the longer term, moving from non-ER specialist physicians to ER specialists. The paper's findings are based on analyzing the paths and flow times of close to two thousand patients in the emergency room of the Medical Center of Leeuwarden (MCL), The Netherlands. Using exploratory data analysis the paper presents generalizable findings about the impacts of various factors on ER's lead-time performance and shows how the proposals fit with well-documented process improvement theories. © 2010 Elsevier B.V. All rights reserved.