Cuestiones abiertas en la modelización del riesgo operacional en los acuerdos de Basileael umbral de pérdidas y la distribución de severidad
ISSN: 1698-5117
Ano de publicación: 2012
Número: 35
Páxinas: 78-93
Tipo: Artigo
Outras publicacións en: Universia Business Review
Resumo
Quantifying capital requirements for operational risk under the Basel Accords remains an open issue in banking practice. In this paper, the impact upon the economic capital of two critical elements when applying advanced approaches (AMA) in the modelling of operational risk, namely, the threshold, and the loss distribution of severity, is analyzed by using a loss database of a Spanish savings bank. This study demonstrates the importance of finding a methodological way to render the various operational risk profiles of financial entities comparable.
Referencias bibliográficas
- Bühlmann, H. (1970): "Mathematical Methods in Risk Theory", Heidelberg, Springer-Verlag.
- Carrillo Méndez, S., (2005): "Operational Risk: The Search of Reliable and Stable Economical Capital Estimation". En Fields Institute, PRMIA Risk Management Seminar. Toronto, Canada.
- Chernobai A.; Memm, C.; Trück, S.; Rachev S.T.; Moscadelli, M. (2006): "Treatment of incomplete data in the field of operational risk: the effects on parameter estimates, El and UL figures". In: Davies, E. (Ed.), "The Advanced Measurement Approach to Operational Risk". Risk Books, London, pp. 145-168
- Comité de Supervisión Bancaria de Basilea (1986): "The management of banks' off. balancesheet exposures: a supervisory perspective", BIS, documento consultivo. http://www.bis.org/ publ/bcbsc134.htm
- Comité de Supervisión Bancaria de Basilea (1989): "Risk in computer and telecommunication systems"", http://www.bis.org/publ/ bcbsc136.htm
- Comité de Supervisión Bancaria de Basilea (1994): "Prudential supervision of banks' derivatives activities", http://www.bis.org/ publ/bcbs14.htm
- Comité de Supervisión Bancaria de Basilea (1998): "Operational Risk management", http://www.bis.org/publ/bcbs42.pdf
- Comité de Supervisión Bancaria de Basilea (2001a): "Working paper on the Regulatory Treatment of Operational risk". http://www. bis.org/publ/bcbs_wp8.pdf
- Comité de Supervisión Bancaria de Basilea (2001b): "Operational risk", http://www.bis.org/publ/bcbsca07.pdf
- Comité de Supervisión Bancaria de Basilea (2002): "The quantitative impact study for operational risk: overview of individual loss data and lessons learned", http://www.bis.org/bcbs/qisopriskresponse.pdf
- Comité de Supervisión Bancaria de Basilea (2003a): "The 2002 Loss Data Colletión Exercesie for Operational Risk: summary of the data colleted", http://www.bis.org/bcbs/qis/ldce2002.pdf
- Comité de Supervisión Bancaria de Basilea (2003b): "Quantitative Impact Study 3. Overview of Global Results", http://www.bis. org/bcbs/qis/qis3results.pdf
- Comité de Supervisión Bancaria de Basilea (2004): "Convergencia internacional de medidas y normas de capital". Marco revisado. http://www.bis.org/publ/bcbs107esp.pdf
- Comité de Supervisión Bancaria de Basilea (2006):"Observed range of practice in key elements of advanced measures approaches", http://www.bis.org/publ/bcbs131.htm
- Comité de Supervisión Bancaria de Basilea (2008): "Quantitative Impact Study. Overview of Global Results". http://www.bis.org/ bcbs/qis
- Comité de Supervisión Bancaria de Basilea (2009a): "Results from the 2008 Loss Data Collection Exercise for Operational Risk". http://www.bis.org/list/bcbs/page_2.htm
- Comité de Supervisión Bancaria de Basilea (2009b): "Observed range of practice in key elements of Advanced Measurement Approaches (AMA)". http://www.bis.org/publ/bcbs160.htm
- Comité de Supervisión Bancaria de Basilea (2011): "Operational Risk-Supervisory Guidelines for the Advanced Measurement Approaches". http://www.bis.org/publ/bcbs184.htm
- Ferreras Salagre, A. (2008):"Riesgo operacional: Enfoque de distribución de pérdidas en la práctica". ED. CES, Madrid.
- Gasol Magriña, A. (2007): "La industria bancaria en el marco de Basilea II". Ed. ACCID, Barcelona.
- Jiménez, E.; Martin, J.L.; Feria, J.M. (2011): "The regulatory loss cut-off level: Does it undervalue the operational capital at risk?". The Spanish Review of Financial Economics, vol. 9 issue 2, pp. 49-54.
- Luo, X.; Shevchenko, P.V.; Donnelly, J. (2007): "Addressing the impact of data truncation ant parameter uncertainty and operational risk estimates", The Journal of Operational Risk., pp 3-26.
- Mignola, G.; Ugoccioni, R., (2006): "Effect of a data collection threshold in the loss distribution approach". The Journal of Operational Risk 1 (4), pp 35-47.