【风险管理】Ch14操作风险（operationalrisk）.ppt

* Risk Management and Financial Institutions 2e, Chapter 18, Copyright ? John C. Hull 2009 Operational Risk Chapter 18 * Risk Management and Financial Institutions 2e, Chapter 18, Copyright ? John C. Hull 2009 Definition of Operational Risk “Operational risk is the risk of loss resulting from inadequate or failed internal processes, people, and systems, or from external events” Basel Committee Jan 2001 * Risk Management and Financial Institutions 2e, Chapter 18, Copyright ? John C. Hull 2009 What It Includes The definition includes people risks, technology and processing risks, physical risks, legal risks, etc The definition excludes reputation risk and strategic risk * Risk Management and Financial Institutions 2e, Chapter 18, Copyright ? John C. Hull 2009 Regulatory Capital (page 369) In Basel II there is a capital charge for Operational Risk Three alternatives: Basic Indicator (15% of annual gross income) Standardized (different percentage for each business line) Advanced Measurement Approach (AMA) * Risk Management and Financial Institutions 2e, Chapter 18, Copyright ? John C. Hull 2009 Categorization of Business Lines Corporate finance Trading and sales Retail banking Commercial banking Payment and settlement Agency services Asset management Retail brokerage * Risk Management and Financial Institutions 2e, Chapter 18, Copyright ? John C. Hull 2009 Categorization of risks Internal fraud External fraud Employment practices and workplace safety Clients, products and business practices Damage to physical assets Business disruption and system failures Execution, delivery and process management * Risk Management and Financial Institutions 2e, Chapter 18, Copyright ? John C. Hull 2009 The Task Under AMA Banks need to estimate their exposure to each combination of type of risk and business line Ideally this will lead to 7×8=56 VaR measures that can be combined into an overall VaR measure (Chapter 21 will discuss how this can be) * Risk Management and