n South African Journal of Economic and Management Sciences - Calculating operational value-at-risk (OpVaR) in a retail bank
|Article Title||Calculating operational value-at-risk (OpVaR) in a retail bank|
|© Publisher:||University of Pretoria|
|Journal||South African Journal of Economic and Management Sciences|
|Author||Ja'nel Esterhuysen, Paul Styger and Gary Van Vuuren|
|Publication Date||Mar 2008|
|Pages||1 - 16|
|Keyword(s)||C15, C16 and G21|
ISI Social Science
The management of operational value-at-risk (OpVaR) in financial institutions is presented by means of a novel, robust calculation technique and the influence of this value on the capital held by a bank for operational risk. A clear distinction between economic and regulatory capital is made, as well as the way OpVaR models may be used to calculate both types of capital. Under the Advanced Measurement Approach (AMA), banks may employ OpVaR models to calculate regulatory capital; this article therefore illustrates the differences in regulatory capital when using the AMA and the Standardised Approach (SA), by means of an example. Economic capital is found to converge with regulatory capital using the AMA, but not if the SA is used.
Article metrics loading...