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

Abstract

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

Bancarewicz, Grazyna, AMA - Selected Issues in the Areas of Operational Risk Data and Operational Risk Modeling. Bank i Kredyt, Nos. 8-9, pp. 96-105, 2007, Available at SSRN: https://ssrn.com/abstract=1103105

Narodowy Bank Polski (Contact Author)

Narodowy Bank Polski ( email )

ul. Swietokrzyska 11/21
Warszawa, 00-919
Poland
48 22 185 28 52 (Phone)

HOME PAGE: http://www.nbp.pl/homen.aspx?f=/en/publikacje/materialy_i_studia/informacja_en.html

Narodowy Bank Polski ( email )

ul. Swietokrzyska 11/21
Warszawa, 00-919
Poland
48 22 185 28 52 (Phone)

HOME PAGE: http://www.nbp.pl/homen.aspx?f=/en/publikacje/materialy_i_studia/informacja_en.html

Grazyna Bancarewicz

affiliation not provided to SSRN ( email )

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