scholarly journals ANALISA PENGUKURAN BEBAN MODAL RISIKO OPERASIONAL METODE BASIC INDICATOR APPROACH (BIA) DAN ADVANCE MEASUREMENT APPROACH (AMA) DI BANK EFG

2020 ◽  
Vol 21 (1) ◽  
pp. 14-20
Author(s):  
Edian Fahmy
Keyword(s):  
Value At Risk ◽  
Goodness Of Fit ◽  
Geometric Distribution ◽  
Operational Risk ◽  
Risk Capital ◽  
Loss Distribution ◽  
Indicator Approach ◽  
External Events ◽  
Measurement Approach

This study aims to compare the magnitude of operational risk losses between the Basic Indicator Approach (BIA) method, and the loss distribution model in the Advanced Measurement Approach (AMA) approach so as to provide a more realistic picture for banks to determine the operational risk capital burden that must be provided based on the causes Operational risks are as follows Internal Process, Human and External Events. Measurement of operational risk capital burden by the AMA method is the determination of frequency of loss distribution, determination of severity of loss distribution, testing with goodness of fit test, then compilation of aggregated loss distribution, calculation of Operational Value at Risk (OpVar), testing the model with back testing and comparison of capital adequacy from the results of the calculation of the Basic Indicator Approach (BIA) and the Advance Measurement Approach (AMA). The results of research based on the BIA require an operational risk capital cost of Rp.291,652,000,000. The results of the research on the AMA approach use the frequency of loss distribution parameter for the internal causes of the process with a Geometric distribution of 0.17561, while for the human cause of 0.08511, for the cause of external events amounting to 0.83721. Determination of Frequency of Loss Distribution using Goodness of Fit for internal processes, people and external events. The results of the Operational Value at Risk (OpVar) with a geometric distribution pattern, then the maximum loss that can arise due to human factors is Rp.24,114,480,096, -, for internal process factors of Rp.6,010,929,367, whereas for external causes for Rp. 2,161,092,909. In total operational risk capital needs through the AMA method of Rp. 32,286,502,372.

Part IV Other Risks, 19 Operational Risk Requirements

2018 ◽  
Author(s):  
Gleeson Simon
Keyword(s):  
Operational Risk ◽  
Risk Exposure ◽  
The Third ◽  
Operational Risks ◽  
Indicator Approach ◽  
External Events ◽  
A Charge ◽  
Measurement Approach ◽  
Actual Incidence

Operational risk is the ‘risk of loss resulting from inadequate or failed internal processes, people, and systems or from external events’. Banks are required to control their operational risk exposure. This chapter discusses the three approaches Basel 2 offers to determine operational risk: the basic indicator approach, the standardized approach, and the advanced measurement approach (AMA). The first two mechanisms which Basel provides for calculating operational risk eschew the analysis of operational risks themselves, and operate on a percentage of lead indicator basis. However, the third approach, i.e. the AMA, permits banks to assess the actual incidence and severity of operational risk within the institution, and to model a charge based on that information.

Operational risk dependencies and the determination of risk capital

2013 ◽  
Vol 8 (4) ◽  
pp. 83-104 ◽  
Author(s):  
Stefan Mittnik ◽  
Sandra Paterlini ◽  
Tina Yener
Keyword(s):  
Operational Risk ◽  
Risk Capital

A PIECEWISE-DEFINED SEVERITY DISTRIBUTION-BASED LOSS DISTRIBUTION APPROACH TO ESTIMATE OPERATIONAL RISK: EVIDENCE FROM CHINESE NATIONAL COMMERCIAL BANKS

2009 ◽  
Vol 08 (04) ◽  
pp. 727-747 ◽  
Author(s):  
JIANPING LI ◽  
JICHUANG FENG ◽  
JIANMING CHEN
Keyword(s):  
Commercial Banks ◽  
Public Information ◽  
Generalized Pareto Distribution ◽  
Operational Risk ◽  
Regulatory Capital ◽  
Loss Distribution ◽  
Generalized Pareto ◽  
Loss Distribution Approach ◽  
Indicator Approach ◽  
International Banks

Following the Basel II Accord, with the increased focus on operational risk as an aspect distinct from credit and market risk, quantification of operational risk has been a major challenge for banks. This paper analyzes implications of the advanced measurement approach to estimate the operational risk. When modeling the severity of losses in a realistic manner, our preliminary tests indicate that classic distributions are unable to fit the entire range of operational risk data samples (collected from public information sources) well. Then, we propose a piecewise-defined severity distribution (PSD) that combines a parameter form for ordinary losses and a generalized Pareto distribution (GPD) for large losses, and estimate operational risk by the loss distribution approach (LDA) with Monte Carlo simulation. We compare the operational risk measured with piecewise-defined severity distribution based LDA (PSD-LDA) with those obtained from the basic indicator approach (BIA), and the ratios of operational risk regulatory capital of some major international banks with those of Chinese commercial banks. The empirical results reveal the rationality and promise of application of the PSD-LDA for Chinese national commercial banks.

scholarly journals Medidas de riesgo para riesgo operacional con un modelo de perdida agregada de Poisson-Lindley

2010 ◽  
pp. 1
Author(s):  
Agustín Hernández Bastida ◽  
Pilar Fernández Sánchez
Keyword(s):  
Risk Measures ◽  
Predictive Distribution ◽  
Loss Distribution ◽  
Gamma Distributions ◽  
Loss Distribution Approach ◽  
Aggregate Loss ◽  
Aggregate Loss Distribution ◽  
High Level ◽  
Measurement Approach

En este trabajo se considera la determinación de medidas de riesgo en riesgo operacional, es decir, la determinación de cuantiles de alto orden. Se considera la aproximación basada en la distribución de la pérdida dentro de la aproximación avanzada. Se calculan, y se comparan entre si, las medidas de riesgo a partir de la distribución de la pérdida agregada y a partir de la distribución predictiva considerando como funciones estructura para los perfiles de riesgo las distribuciones Triangular y Gamma.<br /><br />This paper considers the determination of the risk measures in Operational Risk, i.e. the determination of a high level quantile. The Loss Distribution Approach in the Advanced Measurement Approach is adopted. The risk measures, obtained from the aggregate loss distribution and from the predictive distribution are determined and compared, using the Triangular and Gamma distributions as structure functions of the risk profiles.<br />

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