Abstract
In this paper the authors also (as in the case of the previous paper) analyse and model real operational data of a anonymous bank from the region of a Central and Eastern Europe. The authors have utilised two approaches currently described in the literature, the LDA approach (Loss distribution approach) and the EVT approach (Extreme value theory).
The general contribution of this study is threefold. The first contribution is the presentation of a complete methodology for operational risk management.
Banks in our region generally do not possess a methodology to model operational risk since they rely on the competence of their parent companies to calculate operational risk requirement on the consolidated basis of the whole group.