El capital económico por riesgo operacionaluna aplicación del modelo de distribución de pérdidas

Abstract

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) becomes essential for operational risk measurement and, what is more important, for estimating capital requirements (Capital at Risk). In this paper, we focussed on the Operational Value at Risk (OpVaR) as well as the methodological process for its estimation from the LDA perspective. Moreover, we conducted a sensibility analysis on the global CaR in order to show the impact of the diversification effect.