The Management of Operational Value at Risk in Banks: Operational risk management,Used

The Management of Operational Value at Risk in Banks: Operational risk management,Used

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SKU: DADAX3639201078
Brand: VDM Verlag
Condition: New
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The management of operational valueatrisk (OpVaR) in financial institutions is presented by means of a novel, robust calculation technique and the influence of this value on the capital held by a bank for operational risk. A clear distinction between economic and regulatory capital is made as well as the way OpVaR models may be used to calculate both types of capital. Under the Basel II Advanced Measurement Approach (AMA) banks may employ OpVaR models to calculate regulatory capital; this study therefore illustrates the differences in regulatory capital when using the AMA and the Standardised Approach (SA) by means of an example. Economic capital is found to converge to regulatory capital using the AMA, but not if the SA is used.

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