Measuring and Managing Operational Risk (eBook)

An Integrated Approach

Paola Leone, Pasqualina Porretta, Mario Vellella (Herausgeber)

eBook Download: PDF

2017 | 1st ed. 2018
XX, 211 Seiten
Springer International Publishing (Verlag)
978-3-319-69410-8 (ISBN)

Infos

This book covers Operational Risk Management (ORM), in the current context, and its new role in the risk management field. The concept of operational risk is subject to a wide discussion also in the field of ORM's literature, which has increased throughout the years. By analyzing different methodologies that try to integrate qualitative and quantitative data or different measurement approaches, the authors explore the methodological framework, the assumptions, statistical tool, and the main results of an operational risk model projected by intermediaries. A guide for academics and students, the book also discusses the avenue of mitigation acts, suggested by the main results of the methodologies applied. The book will appeal to students, academics, and financial supervisory and regulatory authorities.

Paola Leone is Professor of Banking and Finance at the Sapienza University of Rome, Italy, where she teaches Risk Management. Her main research interests are banking, capital markets, risk management, mutual guarantee institutions, Bank Recovery and Resolution Directive (BRRD).

Pasqualina Porretta is Associate Professor in Banking and Finance at Sapienza University of Rome, Italy, where she teaches Risk Management in bank and insurance and derivatives. Her main research interests are risk measurement and management, capital regulatory framework, financial derivatives, credit guarantee institutions and microcredit.

Mario Vellella is a Risk Manager with more than 10 years' distinguished experience in operational risk management within Bancoposta. His specific research interest areas are enterprise risk Management, process analysis, risk mitigation, risk mapping and evaluation for firm operating in different sectors (financial or non-financial sectors).

Autor

Paola Leone is Professor of Banking and Finance at the Sapienza University of Rome, Italy, where she teaches Risk Management. Her main research interests are banking, capital markets, risk management, mutual guarantee institutions, Bank Recovery and Resolution Directive (BRRD). Pasqualina Porretta is Associate Professor in Banking and Finance at Sapienza University of Rome, Italy, where she teaches Risk Management in bank and insurance and derivatives. Her main research interests are risk measurement and management, capital regulatory framework, financial derivatives, credit guarantee institutions and microcredit. Mario Vellella is a Risk Manager with more than 10 years’ distinguished experience in operational risk management within Poste Italiane, BancoPosta, Rome, Italy.  His specific research interest areas are enterprise risk Management, process analysis, risk mitigation, risk mapping and evaluation for firm operating in different sectors (financial or non-financial sectors).

Inhalt

Acknowledgements 7
Contents 10
Editors and Contributors 13
List of Figures 15
List of Tables 17
1 Introduction to the Work and Operational Risk 19
Abstract 19
1.1Introduction 20
1.2Operational Risk: Transversal, Pure, Multidimensional 23
1.3Operational Risk: A Few Peculiarities 28
1.4The Work’s Structure 32
1.5Some Conclusions 36
References 39
2 Operational Risk Management: Regulatory Framework and Operational Impact 42
Abstract 42
2.1Operational Risk Management in the Banking System: First Considerations 43
2.2Regulatory Approaches for Measuring Capital Requirements. An Introduction 47
2.2.1Basic Indicator Approach 47
2.2.2Standardized Approach—SA 49
2.2.3Alternative Standardized Approach—ASA 52
2.3Advanced Measurement Approaches (AMA) 54
2.3.1Internal Measurement Approach 55
2.3.2Loss Distribution Approach 56
2.3.3Scorecard Approach 57
2.4Data Collection 59
2.5AMA Methodologies: LDA 63
2.5.1Frequency Distribution 65
2.5.2Severity Distribution 67
2.5.3Body Severity Distribution 68
2.5.3.1 Estimate of the Log-Normal Distribution Parameters 69
2.5.3.2 Goodness-of-Fit Test of the Distribution 70
2.5.4Tail Severity Distribution 71
2.5.5Severity and Frequency Convolution 73
2.6Calculation of the Operational VaR 74
2.7Operational Requirements to Be Eligible for AMA Methodologies 76
2.8In Addition to AMA Methodologies: Operational Risk Management 82
2.9Supervision Operational Risk. From Sound Practices to the New SREP 89
2.9.1Preliminary Assessment 95
2.9.2The Assessment of Operational Risk 99
2.10Some Conclusions 103
References 106
3 Operational Risk Measurement: A Literature Review 111
Abstract 111
3.1Introduction 112
3.2Loss Distribution Approach 112
3.2.1LDA Process Steps 113
3.2.2Extreme Value Theory 126
3.2.2.1 Peaks Over Threshold Method 127
3.2.2.2 Block Maxima Method 130
3.2.3Other Severity Distributions 132
3.3Scenario Analysis 133
3.4Bayesian Methods 139
3.5Some Conclusions 145
References 154
4 Integrated Risk Measurement Approach: A Case Study 160
Abstract 160
4.1Introduction 161
4.2Overview of the Measurement Framework 162
4.3Model Input Data 163
4.4Definition of Risk Classes 164
4.5Overview of LDA Component 165
4.6Overview of the Scenario Analysis Component 166
4.7Overview of Risk Measurements Integration 167
4.8Historical Loss Analysis—Quantitative Component 168
4.8.1Frequency Analysis 168
4.8.1.1 Exploratory Analysis of the Data 169
4.8.1.2 Fitting the Frequency Distribution 172
4.8.2Analysis of the Severity Component 173
4.8.2.1 Exploratory Analysis of the Data 175
4.8.2.2 Distribution Analysis 181
4.8.2.3 Correctness of Modelling with General Pareto Distribution 182
4.8.2.4 Stability of the Shape Parameter 183
4.8.2.5 Goodness of Fit (Set Critical P-Value ? 0.05 for KS and AD2 Tests) 183
4.8.2.6 Stability of Risk Measures (VaR-Single Loss Approximation) 184
4.8.2.7 Definition of the Risk Severity Fitting Curve 185
4.9Distribution of Aggregate Losses 186
4.9.1Extractions from the Severity Distribution 188
4.10Results of Scenario Analysis 189
4.11Integration of Scenario Analysis Results with Quantitative Component 190
4.12Conclusion 192
References 194
5 Almost Concluding Thoughts Between a Comparative Analysis and a Sensitivity Analysis: Look Over the Regulatory View 197
Abstract 198
5.1The New Standard Approach: Is AMA at a Crossroads? Some Questions to Answer 198
5.2Case Study: A Comparative Analysis 204
5.3Beyond the Regulatory Framework: An Operational Management Tool 209
5.4Some Conclusions 214
References 218
Erratum to: Measuring and Managing Operational Risk 220
Erratum to: P. Leone et al. (eds.), Measuring and Managing Operational Risk, Palgrave Macmillan Studies in Banking and Financial Institutions, < ExternalRef>
Index 221

Produkt-Details

• Erscheint lt. Verlag: 26.12.2017
• Reihe/Serie: Palgrave Macmillan Studies in Banking and Financial Institutions
• Reihe/Serie: Palgrave Macmillan Studies in Banking and Financial Institutions
• Zusatzinfo: XX, 211 p. 40 illus.
• Verlagsort: Cham
• Sprache: englisch
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management
• Schlagworte: Basel committee • integrated risk measurement • Operational Risk Management • operational risk model • orm • risk factor • Risk Management
• ISBN-10: 3-319-69410-3 / 3319694103
• ISBN-13: 978-3-319-69410-8 / 9783319694108