The Management Of Operational Value At Risk In Banks Operational Risk Management(1st Edition)
Authors:
Janel Esterhuysen
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ISBN: 3639201078, 978-3639201079
Book publisher: VDM Verlag Dr. Muller
The Management Of Operational Value At Risk In Banks Operational Risk Management 1st Edition Summary: The management of operational value-at-risk (OpVaR) in financial institutions is pre-sented by means of a novel, robust calculation technique and the influence of this value on the capital held by a bank for operational risk. A clear distinction between economic and regulatory capital is made as well as the way OpVaR models may be used to calculate both types of capital. Under the Basel II Advanced Measurement Approach (AMA) banks may employ OpVaR models to calculate regulatory capital; this study therefore illustrates the differences in regulatory capital when using the AMA and the Standardised Approach (SA) by means of an example. Economic capital is found to converge to regulatory capital using the AMA, but not if the SA is used.
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