Wybrane metody pomiaru ryzyka operacyjnego dla instytucji finansowych działających na rynku instrumentów pochodnych

• Autorzy: Agnieszka Wojtasiak

Warianty tytułu

Selected Methods of Operational Risk Measurement in Financial Institutions Active on the Market of Derivates

• Języki publikacji: PL

Abstrakty

Zaprezentowano stosowane obecnie metody określania wielkości kapitału potrzebnego do pokrycia strat związanych z ryzykiem operacyjnym oraz wybrane metody pomiaru ryzyka operacyjnego.

EN

In accordance with the Basel Committee on Banking Supervision's definition, the operational risk is "the risk of direct or indirect loss resulting from inadequate or failed internal processes, people and systems or attributable to external events". The aim of this article is to present methods currently used to determine the volume of capital necessary to cover losses connected with operational risk as well as methods of operational risk measurement in financial institutions active on the market of derivates. The article presents operational risk measurement methods based on the bottom-up approach. These methods can be divided into two groups: methods based on the operational capital indicators and methods using statistical models. The indicator-based methods, recommended by the Basel Committee, comprise: the basic indicator method, the standard method, the advanced measurement method. They do not directly quantify the operational risk, but allow the determination of the capital needed to cover potential losses resulting from operational risk in the bank. The proposed statistical methods are based on the analysis of operational risk loss distribution on the derivates market. The distribution features the infrequent occurrence of substantial losses and the frequent occurrence of minor losses. This is not a normal distribution; therefore an estimation of the peripheral (tail) areas of the distribution is needed. It is suggested that the tail area of the distribution should be estimated by means of an extreme value theory. Also, the significance of the scenario analysis for the operational risk measurement of derivative instruments is emphasised. (original abstract)

Słowa kluczowe

PL

Rynek instrumentów pochodnych; Ryzyko operacyjne; Pomiar ryzyka

EN

Derivatives market; Operational risk; Risk measures

• Czasopismo: Bank i Kredyt
• Rocznik: 2004
• Numer: nr 1
• Strony: 25--30

Twórcy

autor

Agnieszka Wojtasiak

Bibliografia

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