An Optimization Model for the Managementof Security Risks in Banking Companies

Increasing importance of information andcommunication technologies (ICT), new regulatoryobligations (e.g. Basel II) and growing external risks(e.g. hacker attacks) put Security Risks in themanagement focus of banking companies. Themanagement has to decide whether to accept ExpectedLosses or to invest into Technical SecurityMechanisms in order to decrease the frequency ofevents or to invest in Insurance Policies in order tolower the severity of events. This paper contributes tothe development of an optimization model that aims todetermine the optimal amount to be invested intechnical Security Mechanisms and Insurance Policies.Furthermore the model considers budget and risklimits as constraints and is supposed to helppractitioners in controlling Security Risks...