Operational risk management in a bank

Wincenty Kulpa

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ISBN/ISSN:

978-83-7996-096-5

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Wydawnictwo:

Wydawnictwo Uniwersytetu Rzeszowskiego

Rok wydania:

2015

Liczba stron:

234

XML:ISBN/ISSN:

ONIX MARC21

Bibliografia:

Kulpa, Wincenty. Operational risk management in a bank. Red. . : Wydawnictwo Uniwersytetu Rzeszowskiego, 2015, 234 s. ISBN 978-83-7996-096-5

Bibliografia refWorks:

RT Book, Whole

SR Electronic(1)

A1 Kulpa, W.

T1 Operational risk management in a bank

PB Wydawnictwo Uniwersytetu Rzeszowskiego

YR 2015

SN 978-83-7996-096-5

Bibliografia BibTex:

@Book{ 173981, author = "Kulpa, Wincenty", editor = "", title = "Operational risk management in a bank", publisher = "Wydawnictwo Uniwersytetu Rzeszowskiego", year = "2015", address = "", isbn = "978-83-7996-096-5" }

Bibliografia endNote:

TY - BOOK

AU - Kulpa, Wincenty

ED -

TI - Operational risk management in a bank

PB - Wydawnictwo Uniwersytetu Rzeszowskiego

CY -

PY - 2015

SN - 978-83-7996-096-5

ER -

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Kulpa, Wincenty. Operational risk management in a bank [baza danych online] : Wydawnictwo Uniwersytetu Rzeszowskiego, 2015 [dostęp: 03 07 2024]. Dostęp w Ibuk Libra: https://libra.ibuk.pl/reader/operational-risk-management-in-a-bank-wincenty-kulpa-173981.

bankowość, ryzyko bankowe, ryzyko operacyjne, apetyt na ryzyko, Basel II, Basell III, Capital Requirements Directives, zarządzanie ryzykiem operacyjnym, metody pomiaru ryzyka operacyjnego w banku

The book contains a lot of spectacular advantages. This is a monograph pointing at the author’s scientific maturing process. This is expressed in the concentration of the subject interest in which the author combines his professional experie...

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ISBN/ISSN:

978-83-7996-096-5

DOI:

Wydawnictwo:

Wydawnictwo Uniwersytetu Rzeszowskiego

Rok wydania:

2015

Liczba stron:

234

XML:ISBN/ISSN:

ONIX MARC21

INTRODUCTION6
CHAPTER I11
OPERATIONAL RISK IN A BANK11
1.1. THE CONCEPT OF BUSINESS AND FINANCIAL RISK11
1.2. DISTINCTION OF OPERATIONAL RISK IN BANKS18
1.3. EXAMPLES OF SPECTACULAR OPERATIONAL RISK GENERATED LOSS27
CHAPTER II32
OPERATIONAL RISK AND SYSTEMIC RISK IN MODERN FINANCIAL MARKETS32
2.1. STRUCTURE OF FINANCIAL MARKETS32
2.2. RISK FACTORS IN THE FINANCIAL MARKET34
2.3. SYSTEMIC RISK36
2.4. OPERATIONAL RISK IN FINANCIAL MARKETS39
2.5. RISK APPETITE41
2.6. OPERATIONAL RISK AND THE GLOBAL CRISIS IN THE BANKING SECTOR46
CHAPTER III49
REGULATIONS CONCERNING THE MANAGEMENT OF OPERATIONAL RISK IN A BANK49
3.1. SECURITY OF FINANCIAL SYSTEM49
3.2. WORLD REGULATIONS IN THE SCOPE OF MANAGING OPERATIONAL RISK50
3.3. EUROPEAN REGULATIONS67
3.4. NATIONAL REGULATIONS71
3.5. INTERNAL BANK REGULATIONS75
3.6. REGULATIVE ROLE OF CORPORATE GOVERNANCE77
CHAPTER IV80
METHODS AND MODELS OF OPERATIONAL RISK MEASUREMENT IN A BANK80
4.1. CAPITAL ADEQUACY – THE AIM OF OPERATIONAL RISK MEASUREMENT IN A BANK80
4.2. FAILURE MODE EFFECTS ANALYSIS (FMEA)82
4.3. RISK MATRIX84
4.4. METHODS USED TO ALLOCATE THE CAPITAL TO COVER OPERATIONAL RISK85
4.5. BASIC INDICATOR APPROACH (BIA)87
4.6. THE STANDARDISED APPROACH (TSA)94
4.7. ALTERNATIVE STANDARDIZED APPROACH (ASA)100
4.8. THE SPECIFICITY OF ADVANCED MEASUREMENT APPROACHES (AMA)100
4.9. ADVANCED OPERATIONAL RISK MEASUREMENT APPROACHES (AMA) TO CAPITAL. REQUIREMENT OF THE BANK110
4.10. COMPARISON OF METHODS DETERMINING THE CAPITAL REQUIREMENT FOR OPERATIONAL RISK120
CHAPTER V122
OPERATIONAL RISK MANAGEMENT SYSTEM IN A BANKING ENTERPRISE122
5.1. STRATEGY AND STRUCTURE OF OPERATIONAL RISK MANAGEMENT122
5.2. IDENTIFICATION OF OPERATIONAL RISK IN A BANK137
5.3 ASSESSMENT AND MEASUREMENT OF OPERATIONAL RISK IN A BANK IN ORDER TO DETERMINE CAPITAL REQUIREMENT142
5.4. COUNTERACTING RISK152
5.5. OPERATIONAL RISK CONTROL IN A BANK157
5.6. MONITORING AND REPORTING OPERATIONAL RISK IN A BANK163
AN ATTEMPT TO APPLY AMA MODEL TO CALCULATE CAPITAL ADEQUACY FOR OPERATIONAL RISK IN A BANK170
CHAPTER VI170
6.1. FOUNDATIONS OF CALCULATING CAPITAL REQUIREMENT FOR OPERATIONAL RISK USING THE AMA APPROACHES170
6.2. CALCULATING THE VALUE OF CAPITAL REQUIREMENT FOR OPERATIONAL RISK USING THE ADVANCED APPROACH AMA AND LDA MODEL171
6.3. ASSESSING DISTRIBUTION OF LOSS ACUTENESS (SIZE) IN A SELECTED RISK CLASS175
6.4. ESTIMATING LOSS NUMBER (FREQUENCY) DISTRIBUTION180
6.5. CREATING DISTRIBUTION LINE OF JOINT DISTRIBUTION IN A SELECTED RISK CLASS181
6.6. CALCULATING TOTAL CAPITAL FOR RISK184
6.7. CALCULATING CAPITAL VALUE FOR OPERATIONAL RISK FOR THE PURPOSE OF CAPITAL ADEQUACY OF A BANK185
6.8. ALLOCATING CAPITAL REQUIREMENT CALCULATED FOR BANK INTERNAL SUBJECTS BY MEANS OF THE ADVANCED METHOD187
CHAPTER VII188
OPERATIONAL RISK CAPITAL IN BANKS IN POLAND IN THE YEARS 2010-2012 188
7.1. THE TOTAL CAPITAL REQUIREMENT IN THE EQUITY FUNDS OF THE STUDIED BANKS188
7.2. OPERATIONAL RISK CAPITAL REQUIREMENT IN THE STUDIED BANKS191
7.3. ESTIMATION OF THE CAPITAL ADEQUACY FOR OPERATIONAL RISK ON THE EXAMPLE OF TWO BIGGEST BANKS IN POLAND194
CONCLUSION203
BIBLIOGRAPHY208
INDEX OF DIAGRAMS222
INDEX OF FIGURES223
INDEX OF TABLES224
APPENDIX 1. THE SHARE OF THE TOTAL CAPITAL REQUIREMENT IN THE EQUITY OF BANKS IN THE YEARS 2010-2012226
APPENDIX 2. THE SHARE OF OPERATIONAL RISK REQUIREMENT IN THE TOTAL CAPITAL REQUIREMENT FOR THE STUDIED BANKS IN THE YEARS 2010-2012227
APPENDIX 3. OPERATIONAL RISK CAPITAL REQUIREMENT IN THE EQUITY IN SELECTED BANKS IN THE YEARS 2010-2012228
ZHRNUTIE 229

Thepublicationon26June2004ofthefinalversionoftheNewCapitalAccord(Basel

II)

53bytheBaselCommitteeonBankingSupervisionfinished,insomeway,thediscussions

ontheessenceanddefinitionofoperationalrisk,whichalsocausedtheworldwidegrowthin

theinterestinthistypeofriskinfinancialinstitutions.ThedefinitionacceptedbyBaselII

saysthatoperationalriskistheriskofdirectandindirectloss,resultingfrominadequateor

faultyinternalprocesses,peopleandsystems,orfromexternalevents.Here,operationalrisk

includesalsolegalriskbutexcludesstrategicriskorreputationalrisk.BaselIIdistinguishes

sevencategoriesofoperationalrisk:

1)internalfraud,theriskconnectedwithinternalviolationandreferstomaterialloss

causedbyfraud,falsificationofreportsetc.,

2)externalfraud,theriskconnectedwithexternalviolationandreferstomaterialloss

causedbytheft,break-insorcomputerhackingcommittedbypeoplenotconnected

withthefinancialinstitution,

3)theriskconnectedwithHRmanagementandhealthandsafety;itreferstotheloss

resultingfromthebreachoflabourlaw,non-compliancewithhealthandsafety

regulations,work-relatedaccidentclaimsortheuseofvariousformsofdiscrimina-

tion,

4)theriskconnectedwithcustomers,productsorbusinesspractice;i.e.thelossresult-

ingfromintentionalorunintentionalbehaviourincompatiblewithprofessional

practice,thelossresultingfromnegligenceofprofessionalobligationstocustom-

ers,e.g.conductingillegaltransactiononbankaccounts,usingconfidentialinfor-

mationaboutcustomers,unauthorisedsalesofproducts,moneylaundering,

5)theriskconnectedwiththedamageofassets,mainlytangibleassets;itreferstothe

lossresultingfromvandalism,terrorismandcatastrophes,

6)disruptionsofactivitiesandsystemerrors,theriskconnectedwithdisruptionsin

systemssupportingtheworkofafinancialinstitution;itis,mainly,thelosscaused

whileusingcomputerandtelecommunicationequipment,aswellassoftware,

7)theriskconnectedwithbusinessprocesses;itreferstothelossconnectedwithim-

properconductingoftransactionsandimpropermanagementofbusinessprocesses,

errorsresultingfromtherelationswithcustomersandsuppliers,e.g.accountinger-

rors,thelossofdocuments,outsourcing

55.

Letustrytopragmaticallycharacterisethemostimportantfeaturesofoperationalrisk:



operationalriskisanyriskwhichcannotbeclassifiedasthemarketriskorthe

creditrisk,



operationalriskistheriskresultingfromanykindofhumanerrorsorerrors

causedbyusingtechnicalequipment,



operationalriskisacombinationofthesettlementrisk,paymentrisk

administrativerisk,legalriskandtheriskofinterruptingthecontinuityof

operations.



operationalriskistheriskconnectedwithallriskfactorswhichhavemoreimpact

onthevariabilityofthecoststructureofacompany,andlessontheincome

structure,

InternationalConvergenceofCapitalMeasurementandCapitalStandards.Acollectionofbestmarket

practicesinfinancialriskmanagementinthebankingsectorandmaintainingbybanksthesafelevelof

capital.

J.Krasodomska,Zrządzanieryzykiemoperacyjnymwbankach,op.cit.,pp.22,23.

A.Gospodarowicz,RyzykooperacyjnewkontekścieNowejUmowyKapitałowej[OperationalRiskinthe

ContextofNewCapitalAccord],inA.Gopodarowicz(Ed.)Zastosowaniarozwiązańinformatycznychw

bankachspółdzielczych,PraceNaukoweAkademiiEkonomicznejno1068,WydawnictwoAkademii

Ekonomicznej,Wrocław2005,p.45.

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