scholarly journals RISIKO OPERASIONAL BANK DAN PERMODELANNYA

2019 ◽  
Vol 1 (1) ◽  
pp. 28-43
Author(s):  
Iwan Lesmana
Keyword(s):  
Risk Management ◽  
Management Practice ◽  
Operational Risk ◽  
Internal Controls ◽  
Banking Supervision ◽  
Risk Models ◽  
Basel Committee ◽  
Operational Risks ◽  
Indicator Approach ◽  
Measurement Approach

Managing bank’s operational risks becoming an important feature of sound risk management practice in modern financial markets. The most important types of operational risk involve breakdown in internal controls and corporate governance, which could lead to financial losses through fraud, error or failure to perform. Development of statistic has accelarated banks to create internal operational risk models in different ways. Although those models created in different ways, they surely use the pattern of risk management that is developed by Basel Committee on Banking Supervision. Basel Committee on Banking Supervision has proposed three increasingly sophisticated approaches of operational risk, i.e basic indicator approach, standardized approach and advanced measurement approach. Applying those approaches will help banks to eliminate the operational risk, that will lead them to a better intermediation process.

scholarly journals Roles and responsibilities for managing operational risk in a banking environment

2008 ◽  
Vol 5 (3) ◽  
pp. 34-46
Author(s):  
Jackie Young
Keyword(s):  
Risk Management ◽  
Operational Risk ◽  
Main Role ◽  
Banking Supervision ◽  
Operational Risk Management ◽  
Roles And Responsibilities ◽  
Global Institutions ◽  
Basel Committee ◽  
Operational Risks ◽  
Role Players

Operational risk management is one of the fastest growing management disciplines within a banking environment as a result of various disastrous international incidents. Subsequently, various global institutions got involved in order to ensure that the effect of similar events do not negatively influence the international industries, for example, the Basel Committee on Banking Supervision regarding banks. It is, however, a known fact that operational risks are difficult to manage, as it is not easy to quantify. Therefore, it is of the utmost importance to understand the concept of operational risk management and, more specifically, the actual roles and responsibilities of various role-players within an organisation. This paper aims to identify the main role-players involved in the management of operational risk in a banking environment and to identify their specific roles and responsibilities

scholarly journals Calculating capital requirements for operational risk

2021 ◽  
Vol 22 (1) ◽  
Author(s):  
Gerd Waschbusch ◽  
Sabina Kiszka
Keyword(s):  
Financial Crisis ◽  
Operational Risk ◽  
Capital Requirements ◽  
Banking Supervision ◽  
Future Measurement ◽  
Basel Committee ◽  
Operational Risks ◽  
Increased Risk ◽  
Risk Potential ◽  
Measurement Approach

Operational risks have become increasingly important for banks, especially against the background of growing IT dependency and the increasing complexity of their activities. Further-more, the corona pandemic contributed to the increased risk potential. Therefore, banks have to back these risks with own funds. There are currently three measurement approaches for determining the capital requirements for operational risk. In recent years, and especially during the Great Financial Crisis of 2007/2008, however, some of the weaknesses inherent in these approaches have become apparent. Thus, the Basel Committee on Banking Supervision revised the current capital framework. Therefore, this article examines the various measurement approaches, addresses inherent weaknesses and moreover, presents the future measurement approach developed by the supervisory authorities.

scholarly journals Calculating Operational Risk Capital Charges for Indonesian Rural Banks

2011 ◽  
Vol 1 (1) ◽  
pp. 286 ◽  
Author(s):  
Abdul Mongid ◽  
Izah Mohd Tahir
Keyword(s):  
Historical Data ◽  
Operational Risk ◽  
Banking Supervision ◽  
Risk Capital ◽  
Basel Committee ◽  
Operational Risks ◽  
Indicator Approach ◽  
New Basel Capital Accord ◽  
Capital Charge

In January 2001, the Basel Committee on Banking Supervision published a proposal for a new capital framework, the “New Basel Capital Accord (Basel 11)” thus replacing Basel 1. One of the major motivations in the proposal is the introduction of explicit capital charge for operational risks in the business activities of banks. The objective of this paper is to estimate operational risk capital charge using historical data for 77 rural banks in Indonesia for a three-year period, 2006 to 2008. This study uses three approaches:  (i) Basic Indicator Approach (BIA), (ii) Standardized Approach (SA) and (iii) Alternative Standardized Approach (ASA). We found that the average capital charge required to cover operational risk is IDR 154 million (1.5% of asset). When the calculation is conducted using the SA method, we found, on average a requirement of IDR 123 million (1.23% of asset). When the calculation is conducted using the Alternative Standardized Approach (ASA), the capital required was IDR 43 million (0.43% of asset). The results provide evidence that banks using more advance model require less capital charge.

scholarly journals Internal Controls and Credit Risk in European Banking: The Basel Committee on Banking Supervision Framework Approach

2020 ◽  
Author(s):  
Ellis Kofi Akwaa-Sekyi
Keyword(s):  
Financial Crisis ◽  
Credit Risk ◽  
Internal Control ◽  
Internal Controls ◽  
Banking Supervision ◽  
Basel Committee ◽  
Operational Risks ◽  
Control Framework ◽  
Governance Practices ◽  
European Banking

Poor corporate governance practices have been cited as contributory to the 2007 global financial crisis. The chapter explores a qualitative self-regulation approach to address a major risk facing banks using the Basel Committee on Banking Supervision (BCBS) framework of internal controls. The study examines the effect of the qualitative principles of the BCBS internal control framework on credit risk. Corporate institutions use internal control frameworks to address the most operational risks, but the current study hypothesizes a possible relation with the credit risk. This research covers banks from selected EU countries covering some period before and after the 2007 financial crisis using a fixed-effect model. We report a significant relationship between board functions and activities, board structure and board monitoring, and credit risk. The results indicate that investment in high-risk assets, bank profitability and board chair being ex-CEO increases credit risk in European banking. The chapter extends the scope of a previous work that used the elements of the COSO internal control framework on a single country. This quantitative measure of qualitative constructs of the framework complements existing research that uses algorithms and simulations to study credit risk.

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.

Modeling Non-Maturing Demand Deposits: A Proposed Methodology to Determining the Idiosyncratic Confidence Level Used for Separating Stable Deposit Volumes From Volatile Deposit Volumes

2021 ◽  
Author(s):  
Sophie Döpp ◽  
Andre Horovitz ◽  
Alexander Szimayer
Keyword(s):  
Risk Management ◽  
Confidence Level ◽  
Financial Risk ◽  
Management Practice ◽  
Liquidity Constraints ◽  
Banking Supervision ◽  
Basel Committee ◽  
Demand Deposits ◽  
European Banking ◽  
Management Policies

This paper aims to develop a methodology for the estimation of the idiosyncratic confidence level inherent within the process of determining the threshold of separation between volatile and stable deposit volumes. The idiosyncratic confidence level must be reflective of the institution’s specific risk preferences and liquidity risk management policies as anchored into the Principle 9 of the European Banking Authority and Basel Committee for Banking Supervision recommendations. We illustrate the proposed methodology by including liquidity constraints from the Basel III regulatory recommendations introduced in 2013. Furthermore, we point to other ancillary applications of such procedures in the financial risk management practice.

scholarly journals How Can Enterprise Risk Management Help in Evaluating the Operational Risks for a Telecommunications Company?

2021 ◽  
Vol 14 (3) ◽  
pp. 139
Author(s):  
José Ruiz-Canela López
Keyword(s):  
Risk Management ◽  
Banking Sector ◽  
Operational Risk ◽  
Field Work ◽  
Risk Identification ◽  
Enterprise Risk Management ◽  
Management Tool ◽  
Self Assessment ◽  
Operational Risks ◽  
Enterprise Risk

Operational risk is defined as the potential losses resulting from events caused by inadequate or failed processes, people, equipment, and systems or from external events. One of the most important challenges for the management of the company is to improve its results through its operational risk identification and evaluation. Most of Enterprise Risk Management (ERM) scholarship has roots in the finance/risk management and insurance (RMI) discipline, mainly in the banking sector. This study proposes an innovative operational risk assessment methodology (OpRAM), to evaluate operational risks focused on telecommunications companies (TELCOs), on the basis of an operational risk self-assessment (OpRSA) process and method. The OpRSA process evaluates operational risks through a quantitative analysis of estimates which inputs are the economic impact and the probability of occurrence of events. The OpRSA method is the “engine” for calculating the economic risk impact, applying actuarial techniques, which allow estimation of unexpected losses and expected losses distributions in a TELCO. The results of the analyzed business unit in the field work were compared with standardized ratings (acceptable, manageable, critical, or catastrophic), and contrasted against the company’s managers, proving that the OpRSA framework is a reliable and useful management tool for the business, and leading to more research in other sectors where operational risk management is key for the company success.

scholarly journals Estimation of Maximum Potential Losses for Digital Banking Transaction Risks Using the Extreme Value-at-Risks Method

Risks ◽  
2022 ◽  
Vol 10 (1) ◽  
pp. 10
Author(s):  
Moch Panji Agung Saputra ◽  
Sukono ◽  
Diah Chaerani
Keyword(s):  
Risk Management ◽  
Operational Risk ◽  
Threshold Value ◽  
System Failures ◽  
Operational Risks ◽  
Data Value ◽  
Kolmogorov Smirnov ◽  
Potential Risks ◽  
Potential Losses ◽  
Financial Transactions

The application of industry 4.0 in banking presents many challenges, with several operational risks related to downtime and timeout services due to system failures. One of the operational risk management steps is to estimate the value of the maximum potential losses. The purpose of this study is to estimate the maximum potential losses for digital banking transaction risks. The method used for estimating risks is the EVaR method. There are several steps in this study. The first step is to resample the data using MEBoot. This process is a simulation of the operational risk loss data of digital banking. Next, the threshold value is determined to obtain the extreme data value. Then, a Kolmogorov–Smirnov test is conducted to fit the data with the GPD. Afterward, the GPD parameter is estimated. Then, EVaR is calculated using a portfolio approach to obtain a combination of risk values as maximum potential losses. The analysis results show that the maximum potential loss is IDR144,357,528,750.94. The research results imply that the banks need to pay attention to the maximum potential losses of digital financial transactions as a reference for risk management. Therefore, banks can anticipate the adequacy of reserve funds for these potential risks.

scholarly journals Operational Risk Management in A Commercial Bank

2018 ◽  
Vol 7 (4.36) ◽  
pp. 524
Author(s):  
I. I.Vasiliev ◽  
P. A. Smelov ◽  
N. V. Klimovskih ◽  
M. G. Shevashkevich ◽  
E. N. Donskaya
Keyword(s):  
Risk Management ◽  
Development Strategy ◽  
Commercial Bank ◽  
Operational Risk ◽  
Strong Impact ◽  
Credit Institution ◽  
Operational Risk Management ◽  
Operational Risks ◽  
Empirical Level ◽  
Analysis And Synthesis

The existing financial and economic situation in the world and in Russia impacts the activities of all sectors of the economy, including posing challenges for banks. In the conditions of prolonged instability, the banking community has to pay great attention to the risks taken and to manage them. Among all the risks that the bank is exposed to, operational risks represent a separate group due to its specifics, a lack of a systematic approach to analysis and a lack of identification criteria requiring more detailed study. The operational risk is unique in that, although it affects virtually all areas of the credit institution, it is difficult to establish and separate it from other bank risks. It should be noted that every year there appear all new types of operational risk that have a strong impact on the activities of the credit institution due to the development of information and computer systems, the complication of the instruments of the stock market and the improvement of business methods. Therefore, regulators of all countries try to constantly improve the regulatory framework related to the management of the operational risk of a commercial bank, based on the recommendations given by the Basel Committee on Banking Supervision.The article is aimed at developing an effective system for managing the operational risk of a commercial bank.The empirical level research methods used in this article are a description of what operational risk is, its types, tools and methods of assessment; comparison of operational risk management systems in the studied banks; generalization, analysis and synthesis of the information received; the hypothetical-deductive method is used at the theoretical level.Modernization and improvement of the operational risk management system helps stabilize the bank, increase stability and increase profitability, reduce the provision of capital for operational risk, and increase the attractiveness of banking services for consumers, thus benefiting a credit institution among competitors. In today's financial environment, the effective operational risk management is inherent in the long-term development strategy. 

scholarly journals A proposed operational risk management framework for small and medium enterprises

2017 ◽  
Vol 20 (1) ◽  
Author(s):  
Micheline J. Naude ◽  
Nigel Chiweshe
Keyword(s):  
Risk Management ◽  
Small And Medium Enterprises ◽  
Relevant Literature ◽  
Management Strategies ◽  
Operational Risk ◽  
Management Framework ◽  
Operational Risk Management ◽  
Operational Risks ◽  
Risk Management Framework ◽  
Medium Enterprises

Background: The gap between small and medium-sized enterprises (SMEs) and large businesses that perform risk assessment is significant. SMEs continuously face many operational risks and uncertainties in their daily operations, and these risks threaten to reduce productivity, increase costs and reduce profits.Aim: The purpose of this article was to develop an operational risk management framework that SMEs can use to identify and analyse risks in their operations and take corrective actions to mitigate these risks.Setting: Small and medium-sized enterprises in South Africa do not view risk management as a key component of organisational success, despite evidence that businesses that adopt risk management strategies are more likely to survive and grow.Methods: The article is exploratory in nature, and a conceptual analysis approach was used to formulate the framework. This study reviewed relevant literature sources on risk published between 2002 and 2017.Results: The four process steps of risk management were used as a reference point and form the foundation for the operational risk management framework. The categories of operational; marketing; technical and financial risks were identified from a review of available literature on risk management.Conclusion: There is a dearth of research that deals with operational risk management frameworks for SMEs. The expected contribution of this article, therefore, is twofold: firstly, it is envisaged that managers or owners of SMEs could use the proposed framework as a tool to appraise and minimise their operational risks; secondly, it will add to the current body of knowledge on risk appraisal for SMEs.

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