Practical methods for measuring and managing operational risk in the financial sector: A clinical study |
| |
Authors: | Ariane Chapelle,Yves Crama,Georges Hü bner,Jean-Philippe Peters |
| |
Affiliation: | 1. Solvay Business School, Université Libre de Bruxelles, Belgium;2. HEC Management School, University of Liège, Rue Louvrex 14, Building N 1, B-4000 Liège, Belgium;3. Limburg Institute of Financial Economics, Maastricht University, The Netherlands;4. Luxembourg School of Finance, University of Luxembourg, Luxembourg;5. Advisory and Consulting Group (Risk Management Unit), Deloitte Luxembourg |
| |
Abstract: | This paper analyzes the implications of the advanced measurement approach (AMA) for the assessment of operational risk. Through a clinical case study on a matrix of two selected business lines and two event types of a large financial institution, we develop a procedure that addresses the major issues faced by banks in the implementation of the AMA. For each cell, we calibrate two truncated distributions functions, one for “normal” losses and the other for the “extreme” losses. In addition, we propose a method to include external data in the framework. We then estimate the impact of operational risk management on bank profitability, through an adapted measure of RAROC. The results suggest that substantial savings can be achieved through active management techniques. |
| |
Keywords: | C15 G20 G21 |
本文献已被 ScienceDirect 等数据库收录! |
|