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Enbis Industrial Visit Report

Date of Visit
: May 22
, 2003

Visit to:
Monte dei Paschi di Siena (MPS) Bank, Siena, Italy

Visitors involved:

Non attending partners involved:

Wim Senden (Eurandom)

Basic purpose of visit:

iscuss outcome of recent research activity on operational risk management, evaluate
the interest of the internal audit of the bank on the research, and possibly set up a
collaborative application.

Activities conducted:

Presentation of the state of the ar
t of the research on Bayesian networks for
operational risk management, and following intense discussion on how the
methodology can be applied to real Bank data, both from actual losses and from self
assessment (questionnaire) interviews.

Attendance list

Gabriele Stinco, Head of Operational Risk management unit of MPS

Roberto Tognazzi, Manager of the Internal Audit unit

Giorgio Aprile, Manager of MPSnet, information technology society of MPS

Chiara Cornalba, graduate of the University of Pavia


from Visit:

There was general consensus on the advantages of the methodology to model
operational risk data, coming from both actual data and experts’ opinion, and on the
basis of Bayesian networks that allows interdependences between business units to b
exploited. It was agreed to analyse a pilot 2002 dataset and to present the results of
the analysis both at the ENBIS 2003 congress in Barcelona as well as at a further
meeting in Siena, planned for the beginning of September 2003.