Measuring and Managing Operational Risk

Leone, Paola; Porretta, Pasqualina; Vellella, Mario

doi:10.1007/978-3-319-69410-8

Cited by 4 publications

(2 citation statements)

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“…The AMA approach introduces the Loss Distribution Approach (LDA), Bootstrapping Approach, Bayesian Approach, and Extreme Value Theory (EVT) (Fuadi et al, 2020). According to Wang et al (2017) and Leone et al (2018), LDA is the most accurate and popular approach to measuring operational risk, well-defined, although it is very complex.…”

Section: Introductionmentioning

confidence: 99%

“…Various studies have given confidence that LDA is the most recommended method by actuaries, considering that, in general, the available operational loss data is minimal (Leone et al, 2018). Thus, by simply compiling data on a specific frequency and severity distribution, Monte Carlo simulations can be carried out to obtain projections of future loss values.…”

Section: Introductionmentioning

confidence: 99%

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Is the hybrid method more adequate for measuring operational risk?

Farsiah,

Amalia,

Saharuddin

et al. 2024

JAI

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Research aims: Risk management in financial institutions struggles with setting suitable capital charges for operational losses, resulting in large, disproportionate reserves that impact profits. This study, therefore, aims to develop a tailored operational risk measurement model for general takaful companies, addressing this challenge and optimizing capital allocation.Design/Methodology/Approach: This study employed a hybrid approach, merging the loss distribution approach (LDA) with historical data and scenario analysis for insurance company loss events. Compiling data into distributions, it utilized Monte Carlo simulations to determine value at risk (VaR). The resulting VaR guided the calculation of operational risk capital charges for future periods.Research findings: Measurement using the hybrid method could produce more adequate operational risk capital charges. These results confirm the acceptability of the VaR calculation and have been validated by the Kupic test.Theoretical contribution/Originality: This research offers a more comprehensive alternative method of measuring operational risk by combining historical company data with expert opinions, making it more likely to be practiced in the industry.Practitioner/Policy implication: The results of this study put forward an alternative, more suitable model for industry and regulators to measure operational risk management in general takaful companies.

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Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Is the hybrid method more adequate for measuring operational risk?

Farsiah,

Amalia,

Saharuddin

et al. 2024

JAI

View full text Add to dashboard Cite

show abstract

Standard Risk Metrics

Gerunov

2022

Risk Analysis for the Digital Age

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Seasonality of incident types in transport crime – Analysis of TAPA statistics

Ekwall

Lantz

2022

J Transp Secur

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This paper examines weekly and annual seasonality in incident categories to find patterns and trends in transport crime globally, concerning the value of stolen goods, incident frequency and incident category. Secondary data is utilized to analyse a contemporary challenge in logistics and supply chain research, namely theft and robbery of goods during shipment. The research is based on the TAPA global IIS transport-related crime database. Incident frequencies and mean values are analysed primarily with chi-square tests and analyses of variance (ANOVAs). The results are analysed and discussed within a frame of reference consisting of theories from logistics and criminology. The main conclusion is that there is an annual as well as a weekly seasonality of most incident categories, but the patterns vary among incident categories. The results are primarily limited by the content and classification within the TAPA IIS database.

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Measuring and Managing Operational Risk

Cited by 4 publications

References 0 publications

Is the hybrid method more adequate for measuring operational risk?

Is the hybrid method more adequate for measuring operational risk?

Standard Risk Metrics

Seasonality of incident types in transport crime – Analysis of TAPA statistics

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