El OpVaR como medida del riesgo operacional

  1. Feria Domínguez, José Manuel
  2. Jiménez-Rodríguez, Enrique
  3. Martín Marín, José luis
Revista:
Boletín de estudios económicos

ISSN: 0006-6249

Año de publicación: 2008

Título del ejemplar: La internacionalización de la empresa

Volumen: 63

Número: 193

Páginas: 135-159

Tipo: Artículo

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Otras publicaciones en: Boletín de estudios económicos

Resumen

In the last few years, bank industry has suffered from important losses due to operational failures. Being aware of that, in 2004 the Basel Committee published a New Capital Accord in which financial institutions were encouraged to measure, control and manage operational risk. In this context, Value at Risk (VaR) turns into essential for market risk measurement, this time applied to operational risk and, what is more important, for estimating capital requirements (Capital at Risk). In this paper, we focused on the Operational Value at Risk (OpVaR) measure and the methodological process for its estimation by using the Aggregate Loss Distribution approach (LDA).

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