AMA - Selected Issues in the Areas of Operational Risk Data and Operational Risk Modeling
Bank i Kredyt, Nos. 8-9, pp. 96-105, 2007
10 Pages Posted: 7 Mar 2008
The article shows relevant difficulties and challenges that banks may come across while collecting loss data and modeling operational risk. The author describes briefly the range of operational risk and later focuses on issues linked with data collection - precisely defining operational risk loss, multiply time/effect losses, operational risk losses related to credit and market risk. She details the matter of expected and unexpected losses. Afterwards she takes up the subjects of operational risk classes, calculating capital requirement within each of them and the final amount of capital requirement. At the end she broaches the matter of model performance techniques.
Note: Downloadable document is in Polish.
Keywords: operational risk data, expected and unexpected losses, operational risk modeling
JEL Classification: G21, G32, C81
Suggested Citation: Suggested Citation