Publication at Faculty of Social Sciences |
2010
Abstract
Operational risk management and measurement has been paid increasing attention in the last several years. The main two reasons are the Basel II requirements that were to be complied with by all internationally active financial institutions by the end of 2006, and the recent severe operational risk loss events.
In this paper the author analyzes - as well as focuses on - operational risk measurement techniques and on economic capital estimation methods. A data sample of operational losses provided by an anonymous Central European bank is analyzed using several approaches.