Measuring operational and reputational risk : a by Aldo Soprano, Bert Crielaard, Fabio Piacenza, Daniele

By Aldo Soprano, Bert Crielaard, Fabio Piacenza, Daniele Ruspantini

The best way to observe operational chance thought to real-life banking information. Modelling Operational and Reputational dangers indicates practitioners the easiest versions to exploit in a given state of affairs, in keeping with the kind of threat a firm is dealing with. according to large utilized examine on operational possibility versions utilizing genuine financial institution datasets, it deals quite a lot of numerous trying out types and becoming concepts for financial Read more...

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how one can practice operational hazard concept to real-life banking facts Modelling Operational and Reputational dangers exhibits practitioners the simplest versions to exploit in a given scenario, based on the sort of Read more...

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One could choose to have very low reporting thresholds, or none at all. For quality and complete assurance, we recommend that all losses, even the minor ones, are included. A varying threshold might result in varying frequency, affecting capital at risk distribution. In the new accord, an indicative level is set at $10 000. This threshold should also be aligned to some external data consortia. External loss databases usually have a threshold higher than $10 000: this might cause problems when integrating the information for the capital at risk calculation.

In reference 4 on page 193, several examples of risk classes are reported: r event type r business line r a combination of event type/business line r a legal entity class r a cause class. ). In both the new Basel capital accord (see reference 2) and the CEBS’s (Committee of European Banking Supervisors) CP10 (see reference 4), financial institutions shall test the hypothesis that data belonging to a risk class are independent and identically distributed, prerequisite for robust modeling. We now look at some techniques to verify that a risk class is independent and identically distributed, analyzing identical distribution first.

A database must keep track of a company’s ownership changes and business restructuring – the operational risk manager ought to maintain and file standardized documentation describing changes that have occurred together with any adjustment, such as scaling applied, rationale for intervening; 2. the time series aggregating date, when data from two or more companies are merged into another database, must also be reported and the original series must be traceable; P1: JYS c02 JWBK346-Soprano 14 February 11, 2009 22:33 Printer: Yet to come Measuring Operational and Reputational Risk 3.

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