Learning Bayesian Network to Explore Connectivity of Risk Factors in Enterprise Risk Management
Enterprise Risk Management provides a holistic top-down view of key risks facing an organization. Developing techniques that can exhibit the inter-connectivity of risks are required to effectively manage risks on an enterprise-wide. This research thus proposed Bayesian Network learning technique to explore the correlated risks in portfolio risk management using the Expressway Authority of Thailand for empirical study. The comparisons of three Bayes Net algorithms for building the risk map were also conducted. The results showed that TAN classifier was best suited for establishing the causality model of Bayesian risk map to strengthen portfolio risk management in this work. The findings from the study also indicated that all the twenty six key risk indicators, derived from expert judgment, were related in hierarchy and directly affected the portfolio risk value, or economic profit. The study found that number of new cars registration, customer life time value, and safety cost efficiency were the root causes of the portfolio risk of expressway enterprise.
Keywords: Bayesian Network learning, Risk Map, Portfolio Risk, Enterprise Risk Management
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ABOUT THE AUTHORS
Paradee Namwongse
Paradee Namwongse is the chief of risk management section at Expressway Authority of Thailand. She has attended the PhD. program in Technopreneurship and Innovation Management, Chulalongkorn University. Her current research focuses on Enterprise Risk Management, and Data Mining, specifically on Bayesian Networks learning to support risk modeling and decision making for enterprise risk management.
Yachai Limpiyakorn
Dr. Yachai Limpiyakorn* is an Associate Professor at the department of Computer Engineering, Chulalongkorn University. Her research interests include: Software Process Improvement, Measurement Information Model, Knowledge Management, and Data Mining.
Paradee Namwongse
Paradee Namwongse is the chief of risk management section at Expressway Authority of Thailand. She has attended the PhD. program in Technopreneurship and Innovation Management, Chulalongkorn University. Her current research focuses on Enterprise Risk Management, and Data Mining, specifically on Bayesian Networks learning to support risk modeling and decision making for enterprise risk management.
Yachai Limpiyakorn
Dr. Yachai Limpiyakorn* is an Associate Professor at the department of Computer Engineering, Chulalongkorn University. Her research interests include: Software Process Improvement, Measurement Information Model, Knowledge Management, and Data Mining.
