Rm 11


Published on

Published in: Business, Technology
  • Be the first to comment

  • Be the first to like this

Rm 11

  1. 1. Risk ManagementUniversity of Economics, Kraków, 2012 Tomasz Aleksandrowicz
  2. 2. operational risk management credit risk definition credit bureau and rating agencies credit risk management
  3. 3. operational risk• risk of loss resulting from inadequate or failed internal processes, people and systems or from external events• operational risk is much harder to identify than market and credit risk
  4. 4. people risk• Employee collusion/fraud• Employee error• Employee misdeed• Employers liability• Employment law
  5. 5. process risk – Transaction Risk – Documentation/contract risk. – Operational Control Risk – Model Risk
  6. 6. technology risk
  7. 7. external risk
  8. 8. causes of operational risk• Internal fraud• External fraud• Employment practices and workplace safety• Clients, products and business practices.• Damage to physical assets.• Business disruption and system failures• Execution, delivery and process management
  9. 9. 3 approaches in banking
  10. 10. key risk indicators
  11. 11. basic indicator approach• simplest operational risk measurement method• banks has to hold capital reserves for operational loss• average income gross income from previous 3 years times given percentage (alpha)• years with negative or zero income excluded• committee alpha percentage – 15% (represents industry average operational risk) 12
  12. 12. Standardized Approach• more complex method of operational risk measurement• banks has to hold capital reserves for operational loss• three-year average across each of the business lines in each year times given percentage (beta) 13
  13. 13. standardized Approach – beta factor 14
  14. 14. advanced measurement approach(AMA)• comprehensive method based on bank’s internal operational risk measurement system• quantitative and qualitative criteria• subject of regulatory approval• bank must be able to demonstrate that its approach captures even unlikely events• minimum five-year observation period of internal loss data• external data could be used• high-severity events must be subject of scenario analysis and use external data and expert advisory 15