Detail publikace

Operational Risk - Scenario Analysis

Autor: prof. PhDr. Petr Teplý Ph.D.,
Typ: Články v impaktovaných časopisech
Rok: 2011
Číslo: 1
ISSN / ISBN: 1210-0455
Publikováno v: Prague Economic Papers, Czech Republic
Místo vydání: Prague, Czech Republic
Klíčová slova: operational risk, scenario analysis, economic capital, loss distribution approach, extreme value theory, stress testing
JEL kódy: G21, G32, C15
Citace: pp. 23-39
Granty: GAČR 403/10/1235 (2010-2014) Institucionální reakce na selhání finančních trhů GAČR 403/10/P278 (2010-2012) Implikace globální krize na řízení ekonomického kapitálu finančních institucí GAUK - 31610 Alternativní metody stress testingu při modelování operačního rizika Výzkumný záměr IES (2005-2011) Integrace české ekonomiky do Evropské unie a její rozvoj
Abstrakt: This paper focuses on operational risk measurement techniques and on economic capital estimation methods. A data sample of operational losses provided by an anonymous Central European bank is analyzed using several approaches. Multiple statistical concepts such as the Loss Distribution Approach and the Extreme Value Theory, including scenario analysis method, are considered. Custom plausible loss events defined in a particular scenario are merged with the original data sample and their impact on capital estimates and on the financial institution as a whole is evaluated. Two main questions are assessed – what is the most appropriate statistical method to measure and model operational loss data distribution and what is the impact of hypothetical plausible events on the financial institution. The g&h distribution was evaluated to be the most suitable one for operational risk modeling. The method based on the combination of historical loss events modeling and scenario analysis provides reasonable capital estimates and allows for the measurement of the impact of very extreme events on banking operations.
Ke stažení: PEP 1-2011 Operational Risk - Scenario Analysis MR+PT

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