Reference : Practical methods for measuring and managing operational risk in the financial sector: A...
Scientific journals : Article
Business & economic sciences : Finance
http://hdl.handle.net/2268/3699
Practical methods for measuring and managing operational risk in the financial sector: A clinical study
English
Chapelle, Ariane [ > > ]
Crama, Yves mailto [Université de Liège - ULg > HEC - Ecole de gestion de l'ULg > Recherche opérationnelle et gestion de la production - HEC-Ecole de gestion de l'ULg - HEC - Ecole de gestion de l'ULG : Direction générale >]
Hübner, Georges mailto [Université de Liège - ULg > HEC - Ecole de gestion de l'ULg > Gestion financière >]
Peters, Jean-Philippe [ > > ]
2008
Journal of Banking and Finance
Elsevier Science
32
1049-1061
Yes (verified by ORBi)
International
0378-4266
[en] operational risk ; advanced measurement approach ; extreme value theory
[fr] RAROC ; risk management
[en] This paper analyzes the implications of the Advanced Measurement Approach (AMA) for the assessment of operational risk. Through a clinical case study on a matrix of two selected business lines and two event types of a large financial institution, we develop a procedure that addresses the major issues faced by banks in the implementation of the AMA. For each cell, we calibrate two truncated distributions functions, one for “normal” losses and the other for the “extreme” losses. In addition, we propose a method to include external data in the framework. We then estimate the impact of operational risk management on bank profitability, through an adapted measure of RAROC. The results suggest that substantial savings can be achieved through active management techniques.
Researchers ; Professionals
http://hdl.handle.net/2268/3699
10.1016/j.jbankfin.2007.09.017
Available online at www.sciencedirect.com

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