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Die Behandlung der operationellen Risiken nach Basel II: Ein Anreiz zur Verbesserung des Risikomanagements?

Rünger, Petra; Walther, Ursula - 2004

Risikomanagement der operationellen Risiken dürfte in Zukunft ein entscheidender Wettbewerbsfaktor sein. Im Rahmen der Neuregelung der … bankaufsichtsrechtlichen Vorgaben gemäß Basel II werden sowohl eine Eigenkapitalunterlegung als auch qualitative Vorgaben zum Risikomanagement … dieser Risikoklasse neu eingeführt. Erklärtes Ziel ist es, Anreize für ein verbessertes Risikomanagement zu setzen. Die …

Persistent link: https://www.econbiz.de/10010305656

Operational risk - scenario analysis

Rippel, Milan; Teplý, Petr - 2008

Operational risk management and measurement has been paid an increasing attention in last years. The main two reasons are the Basel II requirements that were to be complied with by all international active financial institutions by the end of 2006 and recent severe operational risk loss events....

Persistent link: https://www.econbiz.de/10010322209

Operational risk mangement and implications for bank's economic capital - a case study

Chalupka, Radovan; Teplý, Petr - 2008

In this paper we review the actual operational data of an anonymous Central European Bank, using two approaches described in the literature: the loss distribution approach and the extreme value theory (EVT). Within the EVT analysis, two estimation methods were applied; the standard maximum...

Persistent link: https://www.econbiz.de/10010322249

Modellrisiko

Stahl, Gerhard; Sibbertsen, Philipp; Bertram, Philip - 2011

Als Teil des operationellen Risikos stellt das Modellrisiko eine wichtige Komponente für die Risikoermittlung bei Finanzinstitutionen dar. Da letztere z.B. bei der Tarifierung und Bepreisung von Derivaten bzw. Portfolien oder bei der Markt- und Kreditrisikoberechnung auf stochastische Modelle...

Persistent link: https://www.econbiz.de/10010289014

Fine tuning of health insurance regulation: Unhealthy consequences for an individual insurer

Schoder, Johannes; Sennhauser, Michèle; Zweifel, Peter - 2009

This paper sheds light on some unexpected consequences of health insurance regulation that may pose a big challenge to insurers' risk management. Because mandated uniform contributions to health insurance trigger risk selection efforts risk adjustment (RA) schemes become necessary. A good deal...

Persistent link: https://www.econbiz.de/10010315557

Modeling dependencies in finance using copulae

Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema - 2008

In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the bivariate framework and discuss the simple, elliptical and Archimedean classes of copulae. Since the copulae model the dependency structure between random variables, next we explain the...

Persistent link: https://www.econbiz.de/10010274147

Operational disruption and the Hungarian real time gross settlement system (VIBER)

Lublóy, Ágnes; Tanai, Eszter - 2008

Central bankers wish to ensure worldwide that large-value transfer systems, as a component of the key market infrastructure, exhibit sufficiently robust levels of operational resilience. We focus on the operational resilience of the Hungarian real time gross settlement system, known as VIBER....

Persistent link: https://www.econbiz.de/10010322389

A general approach to integrated risk management with skewed, fat-tailed risks

Rosenberg, Joshua V.; Schuermann, Til - 2004

The goal of integrated risk management in a financial institution is to measure and manage risk and capital across a range of diverse business activities. This requires an approach for aggregating risk types (market, credit, and operational) whose distributional shapes vary considerably. In this...

Persistent link: https://www.econbiz.de/10010283460

Idiosyncratic viral loss theory: Systemic operational losses in banks

Velez, Sophia Beckett - In: Journal of Risk and Financial Management 14 (2021) 2, pp. 1-13

Basel III regulation intent is to increase the resiliency of banks through effective risk management practices that can reduce significant idiosyncratic operational losses. A systemic risk event that leads to significant losses in a bank holding company (BHC) can expose them to become insolvent...

Persistent link: https://www.econbiz.de/10012611639

Deconstructing risk factors for predicting risk assessment in supply chains using machine learning

Burstein, Guy; Zuckerman, Inon - In: Journal of Risk and Financial Management 16 (2023) 2, pp. 1-16

Risk management is an ongoing process that includes several stages of mapping and identification, analysis, and evaluation, planning, and implementation to reduce risks and ensure ongoing control. Risk management along the supply chains has become more significant in recent years due to an...

Persistent link: https://www.econbiz.de/10014332844

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