Tid: 26 maj 2003 kl 1515-1600

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Lili Svensson.

Titel: Aspects and practical application of operational risk management for the banking institution. (Examensarbete)


Operational risk is a new risk category brought up to life through the increasing risk sensitivity of financial institutions. This work's aim is to initiate a practical operational risk application for FöreningsSparbanken. The main ideas for qualitative structure and tools to manage operational risk are depicted from the framework given by the Basel Committee on Banking Supervision. The main tools such as risk assessments, Key Risk Indicators, risk mapping are identified through the analysis of interviews with employees. Two business lines are analysed here, one is the part of Fund Managing unit and the other is the Payment and Settlement business line. The first line's major loss types are the external and the personnel losses, while the other business line has mostly losses due to IT and systems. The quantitative base for operational risk calculation is the Compound Poisson Process with the General Pareto Distribution for the loss severity. The choice of this model is motivated by the existence of threshold and the appearance of fat tails for operational losses. Furthermore this solid good class of mathematical models compensates the scarcity of the data. Only Payment and Settlement business line's quantitative analysis is outlined due to limited data and information access. The model approximation results in two estimated risk measures: Operational Value at Risk and Expected Shortfall for both assessments and objective data. The result is mainly that the assessment gives "fattier" tailed distribution than the objective data and thus higher risk measures.

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