measuring operational risk in financial institutions：金融机构操作风险度量.pdf

Measuring operational risk in financial institutions Operational risk is now seen as a major risk for financial institutions. This paper considers the various methods available to measure operational risk, and identifies a new framework for analysis. AmANdHA gANegOdA is JOHN eVANS F Fin is a master of philosophy student Associate professor in at the university of New South Actuarial Studies at the Wales. email: amandha_ university of New South ganegoda@ Wales. email: john.evans@ .au A framework to measure operational risk account all three categories of OpRisk to determine the The framework we propose to measure Operational Risk risk capital for a financial institution. The subsequent sections discuss the suitable methods available to measure (OpRisk) is inspired by a statement given by the United States former Secretary of Defense, Donald Rumsfeld. the OpRisk for each category. Thus we have called the method the ‘Rumsfeld Approach’. We broadly categorise all OpRisk into modelling Known-Known OpRisk three categories: OpRisks that we know exist and can be modelled are l Known-Known – risks that we know exist and know categorised as Known-Known OpRisk. There are many how to model; approaches that have been used by the financial industry