Correlation-Operational Risk 02

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Notes

This worksheet replicates the data given in case study 1.

It provides a hands on introduction to the idea of conditionalFamiliarize yourself with its structure and formulas before

switching to the worksheet Case study 1(a).

Original data

Number of observations60

Month System Failure Serious Transaction Error

31-May-99 No No30-Jun-99 No Yes31-Jul-99 No No31-Aug-99 No Yes30-Sep-99 No Yes31-Oct-99 Yes No30-Nov-99 No No31-Dec-99 No Yes

31-Jan-00 Yes No29-Feb-00 No Yes

31-Mar-00 Yes Yes30-Apr-00 Yes No31-May-00 Yes Yes30-Jun-00 No No31-Jul-00 No Yes31-Aug-00 No No30-Sep-00 No No31-Oct-00 No Yes

30-Nov-00 Yes No31-Dec-00 Yes Yes31-Jan-01 No Yes28-Feb-01 Yes Yes31-Mar-01 Yes No30-Apr-01 No Yes31-May-01 Yes Yes30-Jun-01 Yes Yes31-Jul-01 No No31-Aug-01 Yes Yes

30-Sep-01 Yes Yes31-Oct-01 No Yes30-Nov-01 Yes No


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31-Dec-01 No No31-Jan-02 Yes Yes28-Feb-02 No Yes

31-Mar-02 Yes No30-Apr-02 No No31-May-02 No Yes

30-Jun-02 Yes Yes31-Jul-02 Yes No31-Aug-02 Yes Yes30-Sep-02 No No31-Oct-02 Yes No30-Nov-02 No No31-Dec-02 Yes Yes31-Jan-03 Yes No

28-Feb-03 Yes Yes31-Mar-03 Yes No30-Apr-03 Yes No31-May-03 Yes Yes

30-Jun-03 Yes No31-Jul-03 No No31-Aug-03 No Yes30-Sep-03 No Yes31-Oct-03 Yes Yes30-Nov-03 No Yes

31-Dec-03 Yes Yes31-Jan-04 No No29-Feb-04 Yes No31-Mar-04 No Yes30-Apr-04 No No


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Probability Calculations

probability.Prob(both fail) 0.27

Prob(system_fail) 0.50

Prob(Trans_error) 0.53

Prob(Trans_error | system fail) 0.53

Coded data

Month Both fail System Failure

31-May-99 0 030-Jun-99 0 031-Jul-99 0 031-Aug-99 0 030-Sep-99 0 031-Oct-99 0 130-Nov-99 0 031-Dec-99 0 0

31-Jan-00 0 129-Feb-00 0 0

31-Mar-00 1 130-Apr-00 0 131-May-00 1 130-Jun-00 0 031-Jul-00 0 031-Aug-00 0 030-Sep-00 0 031-Oct-00 0 0

30-Nov-00 0 131-Dec-00 1 131-Jan-01 0 028-Feb-01 1 131-Mar-01 0 130-Apr-01 0 031-May-01 1 130-Jun-01 1 131-Jul-01 0 031-Aug-01 1 1

30-Sep-01 1 131-Oct-01 0 030-Nov-01 0 1


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31-Dec-01 0 031-Jan-02 1 128-Feb-02 0 0

31-Mar-02 0 130-Apr-02 0 031-May-02 0 0

30-Jun-02 1 131-Jul-02 0 131-Aug-02 1 130-Sep-02 0 031-Oct-02 0 130-Nov-02 0 031-Dec-02 1 131-Jan-03 0 1

28-Feb-03 1 131-Mar-03 0 130-Apr-03 0 131-May-03 1 1

30-Jun-03 0 131-Jul-03 0 031-Aug-03 0 030-Sep-03 0 031-Oct-03 1 130-Nov-03 0 0

31-Dec-03 1 131-Jan-04 0 029-Feb-04 0 131-Mar-04 0 030-Apr-04 0 0


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Serious Transaction Error

01011001

01

10101001

0111011101

110


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011

001

10100010

1001

001111

10010


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Notes

This worksheet allows you to investigate what happens

to the conditional probability and other probabilitiesof case study 1 for a new random sample.

Press < F9 > to generate a new random sample.

You should also investigate what happens if you

change the values in cell J5 and K5.

Original data

Number of observations60

Month System Failure Serious Transaction Error

31-May-99 Yes Yes30-Jun-99 Yes No31-Jul-99 No No31-Aug-99 No No30-Sep-99 No Yes31-Oct-99 Yes No30-Nov-99 Yes Yes31-Dec-99 No Yes

31-Jan-00 Yes Yes29-Feb-00 Yes No

31-Mar-00 Yes No30-Apr-00 Yes No31-May-00 Yes Yes30-Jun-00 No No31-Jul-00 Yes Yes31-Aug-00 Yes No30-Sep-00 No Yes31-Oct-00 Yes No30-Nov-00 No No

31-Dec-00 No No31-Jan-01 Yes Yes28-Feb-01 Yes No31-Mar-01 No Yes30-Apr-01 No Yes31-May-01 No No30-Jun-01 Yes No31-Jul-01 Yes Yes31-Aug-01 No No30-Sep-01 No No

31-Oct-01 No No30-Nov-01 Yes No


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31-Dec-01 No No31-Jan-02 No Yes28-Feb-02 Yes No

31-Mar-02 No No30-Apr-02 Yes No31-May-02 Yes No

30-Jun-02 Yes Yes31-Jul-02 No No31-Aug-02 No Yes30-Sep-02 Yes Yes31-Oct-02 Yes No30-Nov-02 Yes Yes31-Dec-02 Yes No31-Jan-03 Yes Yes

28-Feb-03 No No31-Mar-03 No Yes30-Apr-03 Yes No31-May-03 No No

30-Jun-03 No No31-Jul-03 No No31-Aug-03 No Yes30-Sep-03 No Yes31-Oct-03 No Yes30-Nov-03 No Yes

31-Dec-03 No Yes31-Jan-04 Yes Yes29-Feb-04 Yes No31-Mar-04 No Yes30-Apr-04 No No


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Probability CalculationsSystem Failure

0.5

Prob(both fail) 0.20

Prob(system_fail) 0.48

Prob(Trans_error) 0.43

Prob(Trans_error | system fail) 0.41

Coded data

Month Both fail System Failure

31-May-99 1 130-Jun-99 0 131-Jul-99 0 031-Aug-99 0 030-Sep-99 0 031-Oct-99 0 130-Nov-99 1 131-Dec-99 0 0

31-Jan-00 1 129-Feb-00 0 1

31-Mar-00 0 130-Apr-00 0 131-May-00 1 130-Jun-00 0 031-Jul-00 1 131-Aug-00 0 130-Sep-00 0 031-Oct-00 0 130-Nov-00 0 0

31-Dec-00 0 031-Jan-01 1 128-Feb-01 0 131-Mar-01 0 030-Apr-01 0 031-May-01 0 030-Jun-01 0 131-Jul-01 1 131-Aug-01 0 030-Sep-01 0 0

31-Oct-01 0 030-Nov-01 0 1


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31-Dec-01 0 031-Jan-02 0 028-Feb-02 0 1

31-Mar-02 0 030-Apr-02 0 131-May-02 0 1

30-Jun-02 1 131-Jul-02 0 031-Aug-02 0 030-Sep-02 1 131-Oct-02 0 130-Nov-02 1 131-Dec-02 0 131-Jan-03 1 1

28-Feb-03 0 031-Mar-03 0 030-Apr-03 0 131-May-03 0 0

30-Jun-03 0 031-Jul-03 0 031-Aug-03 0 030-Sep-03 0 031-Oct-03 0 030-Nov-03 0 0

31-Dec-03 0 031-Jan-04 1 129-Feb-04 0 131-Mar-04 0 030-Apr-04 0 0


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0.5


10001011

10

001010100

0101100100

00


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010

000

10110101

0100

001111

11010


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NotesIn this worksheet you can investigate the difference between the pe

of Mr Mondey and Excels percentile function. Change the value in

the difference between Excel and Mr Mondeys percentile calculatio

Press for re-calculation.

Percentile 95%


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38 $23,863 $039 $53,158 $040 $46,490 $0

41 $51,641 $042 $36,182 $043 $0 $0

44 $0 $045 $0 $046 $0 $047 $0 $048 $76,578 $049 $72,873 $050 $0 $051 $0 $0

52 $0 $053 $0 $054 $0 $055 $0 $0

56 $49,709 $057 $0 $058 $0 $059 $0 $060 $0 $061 $10,488 $0

62 $0 $063 $0 $064 $0 $065 $0 $066 $34,194 $067 $0 $068 $0 $0

69 $52,000 $1,06070 $0 $10,48871 $0 $11,98272 $11,982 $16,442

73 $0 $20,99874 $1,060 $23,86375 $0 $34,19476 $74,339 $36,18277 $0 $41,40278 $0 $42,51279 $85,512 $43,71180 $0 $45,442

81 $60,034 $46,49082 $0 $49,70983 $0 $51,64184 $42,512 $52,00085 $0 $53,15886 $0 $55,56787 $0 $60,03488 $20,998 $66,17889 $0 $72,873


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90 $0 $74,33991 $41,402 $76,57892 $0 $85,512

93 $95,153 $85,80394 $0 $87,36395 $88,875 $88,875

96 $0 $89,02897 $0 $89,79798 $91,067 $91,06799 $89,797 $95,153100 $0 $97,916


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centile calculation

ell C9 to study

.

ss

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Correlation-Operational Risk 02