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Investigating the Potential of Using SOM on Audit Changed Trades
KTH, School of Electrical Engineering and Computer Science (EECS), Information Science and Engineering.
2018 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

During the last 20 years, operational risk has been identified as an considerablerisk that needs to be tracked and handled, particular in the financial industry.The Basel Committee on banking supervision is a global cooperation thatsets standard regulations for banking corporations. The framework of Basel IIcontains an explicit definition and proposed calculation about the size of riskcapital needed. Beside this, the responsibility of how to manage and lower theoperational risk is still in the hands of the operating companies.The company Handelsbanken has identified that their operational risk riseswhen trades become the object of Audit Change. Because of the large numberof trades every day that are Audit Changed, the motivation is to automatevisualization and categorization of the trades, so focus can be given to thosetrades that are associated with higher risk.This thesis has been carried out to investigate the usage of the Self-OrganizingMaps (SOM), an unsupervised Machine Learning algorithm, to explore its potentialin gaining information from the trades that have been Audit Changed.The results reveal that SOM have several potential applications for Handelsbankento develop around the trades done in their business, especially withinAudit Changed but also in general for categorizing trades done in the company.

Abstract [sv]

Under de senaste 20 åren har operativa risker fått mer fokus i termer av uppföljningoch hantering på företagsnivå, speciellt inom den finansiella sektorn.Baselkommittén för bankövervakning är en global samarbetsorganisation mellanländerna för att sätta regulatoriska standarder för banker oavsett land. Iramverket för Basel II finns det beskrivet en explicit definition och förslagnaberäkningar för hur stort riskkapital som behövs för att säkerställa de operativariskerna. Utöver detta, ansvaret för hur operativa risken ska hanteras och hållasnere är upp till varje enskilt företag som bedriver finansiell aktivitet.Handelsbanken, en av de stora svenska bankerna i Sverige, har identifieratatt de har en ökad operativ risk när de har affärer som av någon anledninghar behövts redigerats (Audit Change). På grund av det stora antal affärer somvarje dag blir redigerade, finns det interna skäl att automatisera visualisering ochkategorisering av affärerna, så att fokus kan läggas på dem som är associerademed den högsta risken.Detta masterarbete har blivit genomfört för att undersöka användningenav Self-Organizing Maps (SOM), en oövervakad maskininlärningsalgoritm, ochutforska dess potential att utvinna information om affärerna som har blivitredigerade (Audit Changed). Resultatet visar att SOM har potential för Handelsbankenatt utveckla flertalet applikationer på handel som utförs i bankensaffärsverksamhet, inte minst på redigerade affärer utan även generellt kategoriseraden utförda handeln.

Place, publisher, year, edition, pages
2018. , p. 31
Series
TRITA-EECS-EX ; 2018:75
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:kth:diva-231843OAI: oai:DiVA.org:kth-231843DiVA, id: diva2:1230333
External cooperation
Handelsbanken
Educational program
Master of Science - Wireless Systems
Supervisors
Examiners
Available from: 2018-07-03 Created: 2018-07-03 Last updated: 2018-07-03Bibliographically approved

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