Operational Risk Measurement
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.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Frachot, Antoine & Roncalli, Thierry & Salomon, Eric, 2004. "The Correlation Problem in Operational Risk," MPRA Paper 38052, University Library of Munich, Germany.
When requesting a correction, please mention this item's handle: RePEc:ers:journl:v:xiii:y:2010:i:1:p:215-223. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Eleni Giannakopoulou)
If references are entirely missing, you can add them using this form.