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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
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Operational risk - scenario analysis
Rippel, Milan; Teplý, Petr - 2008
the most suitable one for operational risk modeling because its results are consistent even while using a scenario … analysis method. The method based on the combination of historical loss events modeling and scenario analysis provides …
Persistent link: https://www.econbiz.de/10010322209
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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
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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
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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
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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
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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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Operational Risk, Translation, and Globalization
Czarniawska, Barbara - In: Contemporary Economics 6 (2012) 2, pp. 26-39
This paper compares a translation of a global (more specifically, European) regulation into two local contexts, setting this process in a broader context of the all-pervading risk management. The two countries are Sweden and Poland, both relatively untouched by the current financial crisis, and...
Persistent link: https://www.econbiz.de/10010436039
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Operational risk management in financial institutions: A literature review
Pakhchanyan, Suren - In: International Journal of Financial Studies 4 (2016) 4, pp. 1-21
Following the three-pillar structure of the Basel II/III framework, the article categorises and surveys 279 academic papers on operational risk in financial institutions, covering the period from 1998 to 2014. In doing so, different lines of both theoretical and empirical directions for research...
Persistent link: https://www.econbiz.de/10011709020
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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