El OpVaR como medida del riesgo operacional

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

ISSN: 0006-6249

Argitalpen urtea: 2008

Zenbakien izenburua: La internacionalización de la empresa

Alea: 63

Zenbakia: 193

Orrialdeak: 135-159

Mota: Artikulua

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Beste argitalpen batzuk: Boletín de estudios económicos

Laburpena

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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