{"id":"https://openalex.org/W4393092862","doi":"https://doi.org/10.1142/s0219622023410055","title":"Operational Risk Measurement: An Optimal Timescale Selection Method Based on Information Entropy","display_name":"Operational Risk Measurement: An Optimal Timescale Selection Method Based on Information Entropy","publication_year":2024,"publication_date":"2024-03-22","ids":{"openalex":"https://openalex.org/W4393092862","doi":"https://doi.org/10.1142/s0219622023410055"},"language":"en","primary_location":{"id":"doi:10.1142/s0219622023410055","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0219622023410055","pdf_url":null,"source":{"id":"https://openalex.org/S207089700","display_name":"International Journal of Information Technology & Decision Making","issn_l":"0219-6220","issn":["0219-6220","1793-6845"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Information Technology &amp; Decision Making","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5027840140","display_name":"Yanpeng Chang","orcid":"https://orcid.org/0000-0002-7529-8046"},"institutions":[{"id":"https://openalex.org/I19820366","display_name":"Chinese Academy of Sciences","ror":"https://ror.org/034t30j35","country_code":"CN","type":"government","lineage":["https://openalex.org/I19820366"]},{"id":"https://openalex.org/I4210116191","display_name":"Institutes of Science and Development","ror":"https://ror.org/02ce9qs13","country_code":"CN","type":"facility","lineage":["https://openalex.org/I19820366","https://openalex.org/I4210116191"]},{"id":"https://openalex.org/I4210165038","display_name":"University of Chinese Academy of Sciences","ror":"https://ror.org/05qbk4x57","country_code":"CN","type":"education","lineage":["https://openalex.org/I19820366","https://openalex.org/I4210165038"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Yanpeng Chang","raw_affiliation_strings":["Institutes of Science and Development, Chinese Academy of Sciences, Haidian District, Beijing 100190, P. R. China","School of Public Policy and Management, University of Chinese Academy of Sciences, Shijingshan District, Beijing 100049, P. R. China","Institutes of Science and Development, Chinese Academy of Sciences, Haidian District, Bejing 100190, P. R. China"],"affiliations":[{"raw_affiliation_string":"Institutes of Science and Development, Chinese Academy of Sciences, Haidian District, Beijing 100190, P. R. China","institution_ids":["https://openalex.org/I4210116191","https://openalex.org/I19820366"]},{"raw_affiliation_string":"School of Public Policy and Management, University of Chinese Academy of Sciences, Shijingshan District, Beijing 100049, P. R. China","institution_ids":["https://openalex.org/I4210165038"]},{"raw_affiliation_string":"Institutes of Science and Development, Chinese Academy of Sciences, Haidian District, Bejing 100190, P. R. China","institution_ids":["https://openalex.org/I4210116191","https://openalex.org/I19820366"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5106746311","display_name":"Yinghui Wang","orcid":"https://orcid.org/0009-0009-4348-7369"},"institutions":[{"id":"https://openalex.org/I4210165038","display_name":"University of Chinese Academy of Sciences","ror":"https://ror.org/05qbk4x57","country_code":"CN","type":"education","lineage":["https://openalex.org/I19820366","https://openalex.org/I4210165038"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Yinghui Wang","raw_affiliation_strings":["School of Economics and Management, University of Chinese Academy of Sciences, Haidian District, Beijing 100190, P. R. China"],"affiliations":[{"raw_affiliation_string":"School of Economics and Management, University of Chinese Academy of Sciences, Haidian District, Beijing 100190, P. R. China","institution_ids":["https://openalex.org/I4210165038"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100370632","display_name":"Jianping Li","orcid":"https://orcid.org/0000-0003-4976-4119"},"institutions":[{"id":"https://openalex.org/I4210165038","display_name":"University of Chinese Academy of Sciences","ror":"https://ror.org/05qbk4x57","country_code":"CN","type":"education","lineage":["https://openalex.org/I19820366","https://openalex.org/I4210165038"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Jianping Li","raw_affiliation_strings":["MOE Social Science Laboratory of Digital Economic, Forecasts and Policy Simulation at UCAS, Haidian District, Beijing 100190, P. R. China","School of Economics and Management, University of Chinese Academy of Sciences, Haidian District, Beijing 100190, P. R. China"],"affiliations":[{"raw_affiliation_string":"MOE Social Science Laboratory of Digital Economic, Forecasts and Policy Simulation at UCAS, Haidian District, Beijing 100190, P. R. China","institution_ids":[]},{"raw_affiliation_string":"School of Economics and Management, University of Chinese Academy of Sciences, Haidian District, Beijing 100190, P. R. China","institution_ids":["https://openalex.org/I4210165038"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5033404038","display_name":"Xiaoqian Zhu","orcid":"https://orcid.org/0000-0002-7854-2753"},"institutions":[{"id":"https://openalex.org/I4210165038","display_name":"University of Chinese Academy of Sciences","ror":"https://ror.org/05qbk4x57","country_code":"CN","type":"education","lineage":["https://openalex.org/I19820366","https://openalex.org/I4210165038"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Xiaoqian Zhu","raw_affiliation_strings":["MOE Social Science Laboratory of Digital Economic, Forecasts and Policy Simulation at UCAS, Haidian District, Beijing 100190, P. R. China","School of Economics and Management, University of Chinese Academy of Sciences, Haidian District, Beijing 100190, P. R. China"],"affiliations":[{"raw_affiliation_string":"MOE Social Science Laboratory of Digital Economic, Forecasts and Policy Simulation at UCAS, Haidian District, Beijing 100190, P. R. China","institution_ids":[]},{"raw_affiliation_string":"School of Economics and Management, University of Chinese Academy of Sciences, Haidian District, Beijing 100190, P. R. China","institution_ids":["https://openalex.org/I4210165038"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5027840140"],"corresponding_institution_ids":["https://openalex.org/I19820366","https://openalex.org/I4210116191","https://openalex.org/I4210165038"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.04963385,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"24","issue":"03","first_page":"713","last_page":"741"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9480000138282776,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9480000138282776,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9373999834060669,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9319999814033508,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/operational-risk","display_name":"Operational risk","score":0.8676809072494507},{"id":"https://openalex.org/keywords/copula","display_name":"Copula (linguistics)","score":0.5702976584434509},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5316073894500732},{"id":"https://openalex.org/keywords/extant-taxon","display_name":"Extant taxon","score":0.5083178877830505},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4772772192955017},{"id":"https://openalex.org/keywords/entropy","display_name":"Entropy (arrow of time)","score":0.47082000970840454},{"id":"https://openalex.org/keywords/capital-allocation-line","display_name":"Capital allocation line","score":0.43687331676483154},{"id":"https://openalex.org/keywords/operations-research","display_name":"Operations research","score":0.35741114616394043},{"id":"https://openalex.org/keywords/risk-analysis","display_name":"Risk analysis (engineering)","score":0.34913498163223267},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.3435148596763611},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.2372974157333374},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.1827004849910736},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.13511133193969727},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.12193158268928528},{"id":"https://openalex.org/keywords/profit","display_name":"Profit (economics)","score":0.11957058310508728},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.108470618724823},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.10700541734695435},{"id":"https://openalex.org/keywords/thermodynamics","display_name":"Thermodynamics","score":0.08568340539932251}],"concepts":[{"id":"https://openalex.org/C11489865","wikidata":"https://www.wikidata.org/wiki/Q944806","display_name":"Operational risk","level":3,"score":0.8676809072494507},{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.5702976584434509},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5316073894500732},{"id":"https://openalex.org/C178300618","wikidata":"https://www.wikidata.org/wiki/Q1898509","display_name":"Extant taxon","level":2,"score":0.5083178877830505},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4772772192955017},{"id":"https://openalex.org/C106301342","wikidata":"https://www.wikidata.org/wiki/Q4117933","display_name":"Entropy (arrow of time)","level":2,"score":0.47082000970840454},{"id":"https://openalex.org/C138142054","wikidata":"https://www.wikidata.org/wiki/Q5035692","display_name":"Capital allocation line","level":3,"score":0.43687331676483154},{"id":"https://openalex.org/C42475967","wikidata":"https://www.wikidata.org/wiki/Q194292","display_name":"Operations research","level":1,"score":0.35741114616394043},{"id":"https://openalex.org/C112930515","wikidata":"https://www.wikidata.org/wiki/Q4389547","display_name":"Risk analysis (engineering)","level":1,"score":0.34913498163223267},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.3435148596763611},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2372974157333374},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.1827004849910736},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.13511133193969727},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.12193158268928528},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.11957058310508728},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.108470618724823},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.10700541734695435},{"id":"https://openalex.org/C97355855","wikidata":"https://www.wikidata.org/wiki/Q11473","display_name":"Thermodynamics","level":1,"score":0.08568340539932251},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C78458016","wikidata":"https://www.wikidata.org/wiki/Q840400","display_name":"Evolutionary biology","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1142/s0219622023410055","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0219622023410055","pdf_url":null,"source":{"id":"https://openalex.org/S207089700","display_name":"International Journal of Information Technology & Decision Making","issn_l":"0219-6220","issn":["0219-6220","1793-6845"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Information Technology &amp; Decision Making","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:wsi:ijitdm:v:24:y:2025:i:03:n:s0219622023410055","is_oa":false,"landing_page_url":"http://www.worldscientific.com/doi/abs/10.1142/S0219622023410055","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G2143510402","display_name":null,"funder_award_id":"72331010","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G3289396415","display_name":null,"funder_award_id":"72301272","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G3923275528","display_name":null,"funder_award_id":"71971207","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G4055657509","display_name":null,"funder_award_id":"2023M733458","funder_id":"https://openalex.org/F4320321543","funder_display_name":"China Postdoctoral Science Foundation"},{"id":"https://openalex.org/G7436725804","display_name":null,"funder_award_id":"72371236","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"},{"id":"https://openalex.org/F4320321543","display_name":"China Postdoctoral Science Foundation","ror":"https://ror.org/0426zh255"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":33,"referenced_works":["https://openalex.org/W1911601650","https://openalex.org/W1995350168","https://openalex.org/W2056778198","https://openalex.org/W2071410554","https://openalex.org/W2083028768","https://openalex.org/W2187596416","https://openalex.org/W2465540297","https://openalex.org/W2515931036","https://openalex.org/W2544660614","https://openalex.org/W2607060896","https://openalex.org/W2607165270","https://openalex.org/W2898057012","https://openalex.org/W2924950986","https://openalex.org/W2966872683","https://openalex.org/W3025157253","https://openalex.org/W3044441371","https://openalex.org/W3045138875","https://openalex.org/W3081253886","https://openalex.org/W3121361638","https://openalex.org/W3121548399","https://openalex.org/W3121810277","https://openalex.org/W3123572629","https://openalex.org/W3123800766","https://openalex.org/W3124560616","https://openalex.org/W3125987587","https://openalex.org/W3126729572","https://openalex.org/W3195260084","https://openalex.org/W4214682572","https://openalex.org/W4285403620","https://openalex.org/W4285593310","https://openalex.org/W4313560295","https://openalex.org/W4328101918","https://openalex.org/W4367043258"],"related_works":["https://openalex.org/W3125987587","https://openalex.org/W1497190841","https://openalex.org/W2260714500","https://openalex.org/W1530615066","https://openalex.org/W2378750318","https://openalex.org/W2358374147","https://openalex.org/W2355586614","https://openalex.org/W1980511804","https://openalex.org/W1601345396","https://openalex.org/W2366417163"],"abstract_inverted_index":{"Operational":[0,114],"risk":[1,20,37,61,105,126,140,149,176],"capital":[2,177],"is":[3,100,119],"typically":[4],"allocated":[5],"on":[6,24,41,52,81,102],"an":[7,46],"annual":[8],"timescale":[9,48,155,180],"in":[10,111,138],"extant":[11],"research,":[12],"while":[13],"ignoring":[14],"that":[15],"the":[16,78,94,112,122,129,147,153],"dependence":[17,38,65,79,141],"between":[18,87],"operational":[19,36,60,104,125,139,148,175],"events":[21,106],"may":[22],"differ":[23,40],"different":[25,88,143],"timescales,":[26],"such":[27],"as":[28],"semi-annual":[29],"and":[30,44,71],"quarterly.":[31],"This":[32],"study":[33],"examines":[34],"whether":[35],"structures":[39,80],"multiple":[42,82,179],"timescales":[43,89,144],"proposes":[45],"optimal":[47,95],"selection":[49],"method":[50],"based":[51,101],"information":[53,85],"entropy":[54],"theory":[55],"to":[56,76,92,109],"obtain":[57],"more":[58,160,171],"reasonable":[59,161,172],"measurement":[62,150],"results.":[63,151],"Different":[64],"modeling":[66],"methods,":[67],"including":[68],"linear":[69],"correlation":[70],"copula":[72],"functions,":[73],"are":[74,90],"employed":[75],"analyze":[77],"timescales.":[83],"The":[84,97,133,163],"changes":[86],"calculated":[91],"select":[93],"timescale.":[96],"empirical":[98],"analysis":[99],"2,024":[103],"from":[107],"1994":[108],"2017":[110],"Chinese":[113,130],"Loss":[115],"Database":[116],"(COLD),":[117],"which":[118,145],"one":[120],"of":[121,174],"largest":[123],"external":[124],"datasets":[127],"for":[128,159,168],"banking":[131],"industry.":[132],"results":[134],"reveal":[135],"significant":[136],"differences":[137],"at":[142],"affect":[146],"Crucially,":[152],"quarterly":[154],"should":[156],"be":[157],"considered":[158],"measurements.":[162],"findings":[164],"provide":[165],"important":[166],"insights":[167],"considering":[169],"a":[170],"allocation":[173],"under":[178],"dependence.":[181]},"counts_by_year":[],"updated_date":"2026-04-09T08:11:56.329763","created_date":"2025-10-10T00:00:00"}
