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THE APPLICATION OF EXTREME VALUE THEORY IN OPERATIONAL RISK MANAGEMENT

100%
Teplý P.
Ekonomický časopis (Journal of Economics)
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2012
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vol. 60
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issue 7
698 – 716
EN
This paper focuses on modelling the real operational data of an anonymous Central European bank. We have applied the Extreme Value Theory, in which we have used two estimation methods – the standard maximum likelihood estimation method and the probability weighted moments (PWM). Our results proved a heavy-tailed pattern of operational risk data as documented by many researchers. Additionally, we showed that the PWM is quite consistent when the data is limited as it was able to provide reasonable and consistent capital estimates. Our findings show that when using the Advanced Measurement Approach rather than the Basic Indicator Approach used in Basel II, the researched bank might save approx. 6 – 8% of its capital requirement on operational risk.
2
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REVIEW OF BEST INTERNATIONAL PRACTICE IN OPERATIONAL RISK MANAGEMENT (Przeglad miedzynarodowych standardów dobrych praktyk w obszarze zarzadzania ryzykiem operacyjnym)

100%
Thlon M.
Finansowy Kwartalnik Internetowy e-Finanse
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2011
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vol. 7
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issue 1
13-23
EN
The aim of this paper is to analyze standards of good practice relating to operational risk management. Huge losses incurred by renowned companies (e.g. Barings Bank, Enron) as well as local authorities (e.g. Orange County) (Baldassare, 1998 )as a result of errors in operational risk management caused growing interest in this area of science. New strategies of operational risk management implemented in companies and institutions should function within the framework created by legal and corporate regulations valid in a given country. In this paper the author presents various definitions of corporate governance standards and proposes his own definition related directly to the issues discussed here. Then he presents basic systems of risk management consistent with discussed standards. In conclusion, Polish equivalents of normative regulations discussed here were presented, on the basis of which one could construct a system of operational risk management.
3

Zastosowanie funkcji łączących w wyznaczaniu granic dla Value-at-Risk

100%
Szkutnik T.
Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie
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2012
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issue 895
59-70
EN
The subject of the article concerns bank risk generally and addresses the problem of determining relevant limits for the VaR risk measure at the aggregated level for dependent random variables whose joint multidimensional distribution function is unknown. The information about the dependencies between the random variables is regarded as partial, which allows for the introduction of limiting conditions for the unknown distribution function and the determination of limits for VaR. The dependences among the random variables were introduced on the ground of copula function theory. Limits for the aggregated VaR value were determined on the basis of Williamson and Downson numerical algorithm by means of the programme MATLAB.
4

Techniki redukcji ryzyka operacyjnego

100%
Thlon M.
Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie
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2011
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issue 875
47-62
EN
Operational risk is a new area of knowledge. The phrase was first used in the 1992 COSO (The Committee of Sponsoring Organizations of the Treadway Commission) report, “Internal Control, Integrated Framework”. However, this nomenclature became widespread only after the collapse of the Barings Bank in 1995. Since then, operational risk has created a great deal of interest among scientists. The main objective of this publication is to present operational risk reduction techniques. The author introduces the most often used approaches to limiting operational risk, beginning from the simplest activities that make it possible to rationalise particular processes of the activity, through insurance and up to alternative forms of risk transfer based on captive insurance companies and financial instruments that promote the limitation of operational risk.
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