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Estudo da avaliação e gerenciamento do risco operacional de instituições financeiras no Brasil: análise de caso de uma instituição financeira de grande porte; Operation risk evaluation and management in Brazilian financial institutions: case study of a large financial institution

Trapp, Adriana Cristina Garcia
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 29/06/2004 Português
Relevância na Pesquisa
56.28%
Devido à grande volatilidade e ao dinamismo do mercado financeiro, a gestão do risco operacional é fator preponderante para a sobrevivência de qualquer negócio. A lógica existente na disciplina de mercado pressupõe que este possui mecanismos coercitivos de maneira a induzir os gestores a administrar prudentemente os negócios. Ou seja, a sua eficiência depende da atuação ativa dos participantes do mercado no sentido de beneficiar ou recompensar as instituições mais bem geridas e penalizar as empresas mal administradas. Tradicionalmente, os bancos divulgam dados acerca das exposições ao risco de crédito e de mercado, a fim de auxiliar a compreensão do seu perfil de risco. Entretanto, também estão expostos a outros tipos de riscos, tais como o risco operacional, o qual pode prejudicar significativamente o desempenho futuro, podendo levá-los até a falência. Logo, verifica-se a importância da divulgação dessas informações para a disciplina de mercado. Buscando proteger o sistema financeiro dos resultados negativos advindos dos riscos inerentes às suas atividades, o Comitê da Basiléia publicou o Novo Acordo de Capital, previsto para entrar em vigor no final de 2006, sendo que nesta data as instituições financeiras deverão obedecer a certos padrões mínimos no gerenciamento de seus riscos...

Diagnosis of implementation and impact study of operational risk under Basel II

Carvalho, Rita Isabel Quintas Gouveia de
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Dissertação de Mestrado
Publicado em /01/2007 Português
Relevância na Pesquisa
66.36%
Mestrado em Finanças; The purpose of this document is to discuss some of the most controversial aspects of Basel II specifically relating to Operational Risk requirements in terms of Capital adequacy. The author presents an overview of the Basel II framework in terms of foundation, fundamentals and challenges, and specifically operational risk requirements under Pillar I, before going on to discuss some of its most controversial aspects. Against our initial expectations, several interviews conducted with Operational Risk Officers as well as with Risk experts, consolidated by the analysis of databases and international surveys, show evidence to conclude that banks are still quite reluctant and struggling to understand the specific requirements of the Advanced Measurement Approach (AMA). This, together with the Key Risk Indicators component, remains the major challenge to the financial institutions, both still in a very early completion stage. The author also discusses practices and methodologies in terms of operational risk modeling, presenting an alternative development approach for a possible future update of the Basel requirements, as relates to aggregated event type differentiated treatment, for operational risk modeling, and thus capital calculation...

Analyzing Banking Risk : A Framework for Assessing Corporate Governance and Risk Management, Third Edition

Van Greuning, Hennie; Brajovic Bratanovic, Sonja
Fonte: World Bank Publicador: World Bank
Português
Relevância na Pesquisa
56.21%
This publication aims to complement existing methodologies by establishing a comprehensive framework for the assessment of banks, not only by using financial data, but also by considering corporate governance. It argues that each of the key players in the corporate governance process (such as shareholders, directors, executive managers, and internal and external auditors) is responsible for some component of financial and operational risk management. Following a holistic overview of bank analysis in chapter two, the importance of banking supervision in the context of corporate governance is discussed in chapter three. This chapter also considers the partnership approach and the emerging framework for corporate governance and risk management, as well as the identification and allocation of tasks as part of the risk management process. The framework for risk management is further discussed in chapters four through eleven.

Analyzing and Managing Banking Risk : A Framework for Assessing Corporate Governance and Financial Risk Management, Second Edition

Van Greuning, Hennie; Brajovic Bratanovic, Sonja
Fonte: Washington, DC: World Bank Publicador: Washington, DC: World Bank
Português
Relevância na Pesquisa
56.21%
This publication aims to complement existing methodologies by establishing a comprehensive framework for the assessment of banks, not only by using financial data, but also by considering corporate governance. It argues that each of the key players in the corporate governance process (such as shareholders, directors, executive managers, and internal and external auditors) is responsible for some component of financial and operational risk management. Following a holistic overview of bank analysis in Chapter 2, the importance of banking supervision in the context of corporate governance is discussed in Chapter 3. This chapter also considers the partnership approach and the emerging framework for corporate governance and risk management, as well as the identification and allocation of tasks as part of the risk management process. The framework for risk management is further discussed in Chapters 4 through 11.

Operational Risk Assessment (ORA) for Local Government Engineering Department (LGED) in Bangladesh : Final Report, Volume 2

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Economic & Sector Work :: Country Infrastructure Framework; Economic & Sector Work
Português
Relevância na Pesquisa
56.25%
The Local Government Division, Ministry of Local Government, Rural Development and Cooperatives (LGD) agreed, as part of the identification of a follow-up project to the on-going Rural Transport Improvement Program (RTIP), to launch an Operational Risk Assessment (ORA) of the Local Government Engineering Department (LGED). The ORA draws on and adapts previous work to develop methodologies to assess and suggest mitigation measures for fiduciary risks, as well as inherent risks linked with road and infrastructure construction and maintenance, administrative control risks, and risks associated with political influence. The Fiduciary and Operational Risk Management Improvement Plan (FORMIP) built on the first report to: (i) assess fiduciary and operational risks in LGED's management of projects, assets and other resources, and in LGD's oversight function, that are likely to be major factors in possible funds leakages, delays and undue interferences and overall inefficient use of public resources; (ii) prioritize options which are realistic and available to effectively minimize (and where possible...

Análise do nível de divulgação do risco operacional segundo recomendações do comitê da Basiléia: estudo em bancos do país e do exterior; Analysis of operational risk disclosure level according to recommendations of Basel committee: a study in Brazilian and foreign banks

ALVES, Carlos André de Melo; CHEROBIM, Ana Paula Mussi Szabo
Fonte: Universidade Presbiteriana Mackenzie Publicador: Universidade Presbiteriana Mackenzie
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
66.21%
Este estudo buscou verificar os níveis de divulgação do risco operacional de 24 bancos do país e de 9 do exterior, segundo recomendações do Comitê da Basiléia, em 31 de dezembro de 2003 e 31 de dezembro de 2004. Realizaram-se revisão teórica e pesquisa documental, com o propósito de analisar o conteúdo de relatórios anuais e outros instrumentos de divulgação. A amostra baseou-se no relatório "50 maiores bancos" do Banco Central do Brasil. A análise empregou 9 categorias e 18 subcategorias baseadas em recomendações do Comitê, na revisão teórica e em pesquisa exploratória em que se coletou opinião de profissionais relativa às categorias e subcategorias. Aplicaram-se testes não paramétricos. Constatou-se que os níveis de divulgação de bancos do país e do exterior em 2003 foram, respectivamente, 17,13% e 77,78%, e em 2004, 24,31% e 81,48%. Os testes indicaram que os bancos do exterior divulgaram mais subcategorias e que a quantidade de subcategorias divulgadas pelos dois grupos de bancos aumentou em 2004.; This paper examines the operational risk disclosure levels of 24 brazilian banks and 9 foreign banks based on the Basel Committee recommendations. The information is taken from 2003 and 2004 annual reports and other disclosure instruments. The sample is based on Central Bank of Brazil's Report "50 maiores bancos". It was used an analysis framework of 9 categories and 18 subcategories...

Basel II : operational risk measurement in the portuguese banking sector

Couto, Gualter; Bulhões, Kevin Medeiros
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Artigo de Revista Científica
Publicado em //2009 Português
Relevância na Pesquisa
66.21%
The present work focuses on one of the principal themes associated with the New Basel Accord - operational risk and its respective methodologies for calculating minimum capital requirements. The new capital accord encourages financial institutions to gradually evolve from basic to sophisticated methodologies. Institutions applying sophisticated methods will be rewarded with deductions on capital allocated when calculating the capital ratio. The methodologies related to operational risk will be applied to a group of national banking institutions. These methodologies are referred to in Pillar I of the new capital accord: (i) the basic indicator approach, (ii) the standardized approach and (iii) the alternative standardized approach. The purpose of this practical application is to evaluate and quantify the impact on several national banks of the different approaches linked to operational risk, introduced by Basel II.

Phase Transitions in Operational Risk

Anand, Kartik; Kühn, Reimer
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
56.18%
In this paper we explore the functional correlation approach to operational risk. We consider networks with heterogeneous a-priori conditional and unconditional failure probability. In the limit of sparse connectivity, self-consistent expressions for the dynamical evolution of order parameters are obtained. Under equilibrium conditions, expressions for the stationary states are also obtained. The consequences of the analytical theory developed are analyzed using phase diagrams. We find co-existence of operational and non-operational phases, much as in liquid-gas systems. Such systems are susceptible to discontinuous phase transitions from the operational to non-operational phase via catastrophic breakdown. We find this feature to be robust against variation of the microscopic modelling assumptions.; Comment: 13 pages, 7 figures. Accepted in Physical Review E

Robust Estimation of Operational Risk

Horbenko, Nataliya; Ruckdeschel, Peter; Bae, Taehan
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
56.15%
According to the Loss Distribution Approach, the operational risk of a bank is determined as 99.9% quantile of the respective loss distribution, covering unexpected severe events. The 99.9% quantile can be considered a tail event. As supported by the Pickands-Balkema-de Haan Theorem, tail events exceeding some high threshold are usually modeled by a Generalized Pareto Distribution (GPD). Estimation of GPD tail quantiles is not a trivial task, in particular if one takes into account the heavy tails of this distribution, the possibility of singular outliers, and, moreover, the fact that data is usually pooled among several sources. Moreover, if, as is frequently the case, operational losses are pooled anonymously, relevance of the fitting data for the respective bank is not self-evident. In such situations, robust methods may provide stable estimates when classical methods already fail. In this paper, optimally-robust procedures MBRE, OMSE, RMXE are introduced to the application domain of operational risk. We apply these procedures to parameter estimation of a GPD at data from Algorithmics Inc. To better understand these results, we provide supportive diagnostic plots adjusted for this context: influence plots, outlyingness plots, and QQ plots with robust confidence bands.; Comment: 14 pages...

The Structural Modelling of Operational Risk via Bayesian inference: Combining Loss Data with Expert Opinions

Shevchenko, P. V.; Wüthrich, M. V.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 07/04/2009 Português
Relevância na Pesquisa
56.28%
To meet the Basel II regulatory requirements for the Advanced Measurement Approaches, the bank's internal model must include the use of internal data, relevant external data, scenario analysis and factors reflecting the business environment and internal control systems. Quantification of operational risk cannot be based only on historical data but should involve scenario analysis. Historical internal operational risk loss data have limited ability to predict future behaviour moreover, banks do not have enough internal data to estimate low frequency high impact events adequately. Historical external data are difficult to use due to different volumes and other factors. In addition, internal and external data have a survival bias, since typically one does not have data of all collapsed companies. The idea of scenario analysis is to estimate frequency and severity of risk events via expert opinions taking into account bank environment factors with reference to events that have occurred (or may have occurred) in other banks. Scenario analysis is forward looking and can reflect changes in the banking environment. It is important to not only quantify the operational risk capital but also provide incentives to business units to improve their risk management policies...

Operational risk modeled analytically II: the consequences of classification invariance

Brunel, Vivien
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
56.16%
Most of the banks' operational risk internal models are based on loss pooling in risk and business line categories. The parameters and outputs of operational risk models are sensitive to the pooling of the data and the choice of the risk classification. In a simple model, we establish the link between the number of risk cells and the model parameters by requiring invariance of the bank's loss distribution upon a change in classification. We provide details on the impact of this requirement on the domain of attraction of the loss distribution, on diversification effects and on cell risk correlations.; Comment: 7 pages, 1 figure

Opening discussion on banking sector risk exposures and vulnerabilities from virtual currencies: An operational risk perspective

Peters, Gareth W.; Chapelle, Ariane; Panayi, Efstathios
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 04/09/2014 Português
Relevância na Pesquisa
56.29%
We develop the first basic Operational Risk perspective on key risk management issues associated with the development of new forms of electronic currency in the real economy. In particular, we focus on understanding the development of new risks types and the evolution of current risk types as new components of financial institutions arise to cater for an increasing demand for electronic money, micro-payment systems, Virtual money and cryptographic (Crypto) currencies. In particular, this paper proposes a framework of risk identification and assessment applied to Virtual and Crypto currencies from a banking regulation perspective. In doing so, it addresses the topical issues of understanding important key Operational Risk vulnerabilities and exposure risk drivers under the framework of the Basel II/III banking regulation, specifically associated with Virtual and Crypto currencies. This is critical to consider should such alternative currencies continue to grow in utilisation to the point that they enter into the banking sector, through commercial banks and financial institutions who are beginning to contemplate their recognition in terms of deposits, transactions and exchangeability for fiat currencies. We highlight how some of the features of Virtual and Crypto currencies are important drivers of Operational Risk...

A Dynamical Approach to Operational Risk Measurement

Bardoscia, Marco; Bellotti, Roberto
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 12/02/2012 Português
Relevância na Pesquisa
56.21%
We propose a dynamical model for the estimation of Operational Risk in banking institutions. Operational Risk is the risk that a financial loss occurs as the result of failed processes. Examples of operational losses are the ones generated by internal frauds, human errors or failed transactions. In order to encompass the most heterogeneous set of processes, in our approach the losses of each process are generated by the interplay among random noise, interactions with other processes and the efforts the bank makes to avoid losses. We show how some relevant parameters of the model can be estimated from a database of historical operational losses, validate the estimation procedure and test the forecasting power of the model. Some advantages of our approach over the traditional statistical techniques are that it allows to follow the whole time evolution of the losses and to take into account different-time correlations among the processes.; Comment: 19 pages, 2 figures

Operational risk models and maximum likelihood estimation error for small sample-sizes

Larsen, Paul
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
56.24%
Operational risk models commonly employ maximum likelihood estimation (MLE) to fit loss data to heavy-tailed distributions. Yet several desirable properties of MLE (e.g. asymptotic normality) are generally valid only for large sample-sizes, a situation rarely encountered in operational risk. We study MLE in operational risk models for small sample-sizes across a range of loss severity distributions. We apply these results to assess (1) the approximation of parameter confidence intervals by asymptotic normality, and (2) value-at-risk (VaR) stability as a function of sample-size. Finally, we discuss implications for operational risk modeling.; Comment: Increased number of bootstrap samples, added references to tables, fixed typographical errors. Supplementary appendix available at https://pavellarsen.wordpress.com/publications/

Loss Distribution Approach for Operational Risk Capital Modelling under Basel II: Combining Different Data Sources for Risk Estimation

Shevchenko, Pavel V.; Peters, Gareth W.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 08/06/2013 Português
Relevância na Pesquisa
56.19%
The management of operational risk in the banking industry has undergone significant changes over the last decade due to substantial changes in operational risk environment. Globalization, deregulation, the use of complex financial products and changes in information technology have resulted in exposure to new risks very different from market and credit risks. In response, Basel Committee for banking Supervision has developed a regulatory framework, referred to as Basel II, that introduced operational risk category and corresponding capital requirements. Over the past five years, major banks in most parts of the world have received accreditation under the Basel II Advanced Measurement Approach (AMA) by adopting the loss distribution approach (LDA) despite there being a number of unresolved methodological challenges in its implementation. Different approaches and methods are still under hot debate. In this paper, we review methods proposed in the literature for combining different data sources (internal data, external data and scenario analysis) which is one of the regulatory requirement for AMA.

Gerenciamento dos riscos operacionais: os métodos utilizados por uma cooperativa de crédito; Operational risk management: the methods used by a credit cooperative

Amaral, Isis de Castro; Neves, Mateus de Carvalho Reis; Freitas, Alan Ferreira de; Braga, Marcelo José
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de RP Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de RP
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; ; ; ; Formato: application/pdf
Publicado em 01/12/2009 Português
Relevância na Pesquisa
56.29%
O objetivo deste trabalho foi analisar se as cooperativas de crédito têm buscado desenvolver mecanismos de gerenciamento do risco operacional que sejam compatíveis com suas especificidades. O risco operacional refere-se ao risco de perda resultante de uma falha ou de um inadequado processo interno de controle, podendo ser gerado pelo homem, pelo sistema ou por eventos externos. O gerenciamento desse risco possibilita criar informações quantitativas e qualitativas para cada área da organização, integrando o risco operacional com outros tipos de risco financeiros, facilitando o acompanhamento destes e a alocação de capital. A metodologia utilizada baseia-se no estudo de caso da Cooperativa de Crédito de Livre Admissão do Sistema de Cooperativas de Crédito do Brasil (SICOOB CREDILIVRE), situada em Manhuaçu - MG. Foram realizadas análises documentais e entrevistas semi-estruturadas. Como resultado, percebe-se que, mesmo em se tratando de uma cooperativa com significativa estrutura de capital se comparada às demais cooperativas filiadas a sua respectiva central de crédito, a mesma é deficiente em desenvolver mecanismos de gerenciamento do risco operacional, ficando na dependência dos sistemas propostos pela cooperativa central. Contribuíram para essa situação a falta de recursos para financiar o desenvolvimento de um sistema próprio e a escassez de profissionais que conheçam as características da organização e consigam traduzir em linguagem de programação as expectativas do gestor quanto ao sistema e à questão de governança da singular frente à central...

Manegement of operational risk: an evaluation of the internacional convergence of capital measurement and capital standards - a revised framework - Basel II; Gestão do risco operacional: uma avaliação do novo acordo de capitais - Basiléia II

Pereira, José Matias; UnB - Brasília - DF
Fonte: UFSC Publicador: UFSC
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Formato: application/pdf
Publicado em 31/03/2008 Português
Relevância na Pesquisa
66.1%
This study aims to evaluate the advancements in the negotiations of the International Convergence of Capital Measurement and Capital Standards: a Revised Framework - Basel II, in the context of the failure of financial institutions, which highlights the importance of the evaluation of operational risk. In this scenario, the alternative found was the reformulation of Basel I and the structuring of a New Agreement of Capitals, Basel II. This New Agreement seeks to demand a greater emphasis on the very internal control of the banks, on their processes and risk management models, on the revision process by the supervisor and on market discipline. The study demonstrates that Basel II, despite the difficulties existing in its implementation, proves to be a relevant instrument in the effort towards the increase of safety and strength of the world financial system.; Este estudo tem por objetivo avaliar os avanços nas negociações do Acordo de Capitais de Basiléia II, no contexto da investigação da quebra de instituições financeiras, que veio por ressaltar a importância da avaliação do risco operacional. Neste cenário, a alternativa encontrada foi a reformulação do Basiléia I e a estruturação de um Novo Acordo de Capitais, o Basiléia II. Busca-se...

The invention of operational risk

Power, Michael
Fonte: Centre for Analysis of Risk and Regulation, London School of Economics and Political Science Publicador: Centre for Analysis of Risk and Regulation, London School of Economics and Political Science
Tipo: Monograph; NonPeerReviewed Formato: application/pdf
Publicado em /05/2003 Português
Relevância na Pesquisa
66.24%
Until the 'Basel 2' reforms to banking supervision, operational risk was largely a residual category for risks and uncertainties which were difficult to quantify, insure and manage in traditional ways. This paper examines the rapid emergence of operational risk from this low epistemic status to its institutionalisation as a key component of global banking regulation. However, the meaning and implications of the Basel proposals have been fiercely contested by international banks and three key domains of policy controversy have been, and remain, particularly visible: definitional issues, data collection and the limits of quantification. Tensions in these three areas are discussed and reveal the significance of operational risk as a meeting point for diverse concerns and interests, and as a potential reinvention of a management knowledge hybrid between auditing and finance. The paper draws attention to the ironies and contradictions of this operational risk programme, which is part of a visionary project to extend 'enforced self-regulation' deep into the operations of banking, combining advanced technical modelling ideas on the one hand and softer corporate governance thinking on the other. The Basel 2 proposals also demonstrate the policy effectiveness of 'operational risk' as an agenda-forming category...

A review of operational risk in banks and its role in the financial crisis

de Jongh,Erika; de Jongh,Dawie; de Jongh,Riaan; van Vuuren,Gary
Fonte: South African Journal of Economic and Management Sciences Publicador: South African Journal of Economic and Management Sciences
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/01/2013 Português
Relevância na Pesquisa
66.26%
The role of operational risk in the 2007/2008 financial crisis is explored. The factors that gave rise to the crisis are examined and it is found that although the event is largely regarded as a credit crisis, operational risk factors played a significant role in fuelling its duration and severity. It is concluded that, from an operational risk perspective, 2008 was the worst on record. Considering the extensive role of operational risk in global financial calamities, suggestions are made to improve the management of this risk type.

The effect of stressed economic conditions on operational risk loss distributions

Esterhuysen,Ja'nel; van Vuuren,Gary; Styger,Paul
Fonte: South African Journal of Economic and Management Sciences Publicador: South African Journal of Economic and Management Sciences
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/01/2010 Português
Relevância na Pesquisa
66.29%
The depth and duration of the credit crisis has highlighted a number of problems in modern finance. Banks have been accused of excessive risk taking, rating agencies of severe conflicts of interest, central banks of neglecting the inflation of asset price bubbles and national supervisors of lax regulatory controls. Credit and market losses have been considerable. Operational losses have also surged as surviving corporates merge or acquire less fortunate ones without the requisite controls. Furthermore, as more jobs get made redundant it is believed that people are getting forced to play their hand to get involved in internal fraud as their sources of income have dried up drastically and stealing from the institution seems to be their last resort.. The main objective of this paper is to establish if there has been a change in the nature of operational risk with regards to the number of operational losses as well as their impact pre and during the crisis. The way in which operational losses have been affected will be presented and a comparison will be made between operational loss characteristics pre and during the crisis. Some of the main findings of this paper were that operational losses showed little change in frequency, but showed a significant increase in severity...