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Determining Operational Capital at Risk: An Empirical Application to the Retail Banking
Company: Fundacion de las Cahas de Ahorros
Company Url: Click here to open
Year Of Publication: 2009
Month Of Publication: January
Pages: 44
Download Count: 13
View Count: 1724
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 12-11-2010
Publisher: Administrator
Summary
In this paper, we conduct an empirical application of the Advanced Measurement Approach (AMA), in particular the Loss Distribution Approach (LDA), to the Spanish retail banking sector for the estimation of Economic Capital for Operational Risk. Our results confirm that the implementation of such advanced approach in credit entities provides a lower consumption of regulatory capital, in comparison with the non-advanced methodologies, such us the Basic Indicator Approach (BIA) and the Standardised Approach (SA). At the same time, by focussing on the LDA model, we also assess the potential impact on the Capital at Risk (CaR) of the probability distribution parametric profile used when modelling the internal operational losses, recorded by the financial entity in its IOLD (Internal Operational Losses Database).
Author(s)
Jiménez-Rodriguez, Enrique José Sign in to follow this author
Martin-Marin, José L. Sign in to follow this author
Feria-Dominguez, José M. Sign in to follow this author
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