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Operational Risk Measurement

  • Gabriela ANGHELACHE
  • Ana-Cornelia OLTEANU (PUIU)
  • Alina-Nicoleta RADU
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    Beginning with the fact that performant strategies of the financial institutions have programmes and management procedures for the banking risks, which have as main objective to minimize the probability of risk generation and the bank’s potential exposure, this paper wants to present the operational risk measurement. Therefore, the first part presents the conceptual approach of the operational risks through the point of view of the financial institutions exposed to this type of risk. The second part describes different measurement methods for the operational risk. The final part of this article presents the approach assumed by a financial institution with a precise purpose: the quantification of the minimum capital requirements of the operational risk*. *Taking into consideration the values obtained we can mention that in the case of Standard Approach we have a different percentage of the needed capital in comparison with the Advanced Approach. Therefore in the second case we concluded that the percentage needed by a bank is 12, which is less than 15, the percentage needed in the first case.

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    File URL: http://www.ersj.eu/repec/ers/papers/10_1_p15.pdf
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    Article provided by European Research Studies Journal in its journal European Research Studies Journal.

    Volume (Year): XIII (2010)
    Issue (Month): 1 ()
    Pages: 215-223

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    Handle: RePEc:ers:journl:v:xiii:y:2010:i:1:p:215-223
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    1. Frachot, Antoine & Roncalli, Thierry & Salomon, Eric, 2004. "The Correlation Problem in Operational Risk," MPRA Paper 38052, University Library of Munich, Germany.
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