金融风险Chapter4 Operational Risk Management（PPT 59）

:Mitigationtechniques5.CapitalallocationandrequirementSecuritization,Deregulation,Globalization,GrowingsophisticationoffinancialinstrumentsandtechnologyExamples:…..See:BISSoundpracticesforthemanagementandsupervisionofoperationalrisk,July2002,P2ThesurveyofBritishBankers’AssociationandCoopers&Lybrand(1997)SeeCrouhyBookp477ThereisstillnocompleteconsensusonadefinitionofOR.DifficultiesindefiningandidentifyingExample:creditlosscase,itcouldresulteitherfromcreditriskandfailureofcreditriskmanagement,orfromhumanerroronthepartoftheloanofficers,whichisoperationalriskCleardefinitionandtypologyisimportanttoORmanagementandsupervisionSeeCrouhyBookp475-476DiversifiedindustrydefinitionsEssentialcommon:Inthecontestofatradingorfinancialinstitution,ORreferstoarangeofpossiblefailuresintheoperationsofthefirmthatarenotrelateddirectlytomarketorcreditrisk.Riskofdirectorindirectlossresultingfrominadequateorfailedinternalprocesses,peopleandsystemorfromexternalevents.StrategicriskandreputationriskexcludedEventtypes:Internalfraud,Externalfraud,Employmentpracticesandworkplacesafety,Clients,productsandbusinesspractices,Damagetophysicalassets,Businessdisruptionandsystemfailures,Execution,deliveryandprocessmanagementInternaloperationalrisk(Operationalfailurerisk):Theriskencounteredinthepursuitofaparticularstrategyduetointernalfactorssuchaspeople,process,andtechnology.Externaloperationalrisk(Operationalstrategicrisk):Theriskofchoosinganinappropriatestrategyinresponseofenvironmentalfactors,suchas:political,taxation,regulation,government,social,competition,etc.Operationalriskisdefinedasriskassociatedwithoperatingthebusinessformbeginningtoend,i.e.,before,duringandafterthecompletionofabusinesstransaction.Operationisreferredtothelossesthatcanoccurinoperationsorprocessingcenters(i.e.,wheretransactionprocessingerrorscanoccur).Itisonlya(nimportant)componentofoperationalrisk.中国最大的资料库下载Theexpected,or“normal”operationallossisthelossthebusinessiswillingtoabsorbasacostofdoingbusinessandisexplicitlybudgetedforintheannualbusinessplanandiscoveredbythepricingoftheproductsorservices.Wecanassumethatabusinessunit’smanagementisalreadyassessingandpricingexpectedloss.Bycontrast,wefocusonunexpectedloss,andtheamountofeconomiccapitalthatshouldbeattributedtobusinessunitstoabsorbthoselosses.However,economiccapitalcannotbeattributedtoanyunexpectedlosses,especiallythemostextreme(catastrophic)losses.Sounexpectedlossescanbesubdividedintoseverelossesandcatastrophiclosses.Severelossesshouldbecoveredbyanappropriateallocationofoperationalriskcapital.Catastrophiclosses(alsorarestlosses)mightdestroythebank,VARandRAROCmodelsarenotmeanttocapturethiskindofrisk,sincepotentiallossesarecalculatedonlyuptoacertainconfidencelevel(upto1%)whilecatastrophicrisksarebytheirverynatureextremelyrare.Banksattempttofindinsurancecoveragetohedgethiskindofrisksincecapitalwillnotprotectabankfromtheserisks.Definition,typologyandidentificationEmergingORMfunction,organizationstructures(framework)ORassessmentandmeasurementORdataandinformationtypesandconceptualfoundationsofmodelsORmitigation:control,finance,andhedging,contractengineeringIntegrationwithMRM,CRMintointegratedERMCapitalallocationRegulatorydevelopmentsDifficulttodefine,fuzzydefinition(identificationproblem)Difficulttoquantify(measurementproblem)ThereforedifficulttomanageORonaconsistentbasiswithoutanappropriateframework(formalizingapproachintermsofpoliciesandgenerallyaccepteddefinitions)inplaceItisalltooeasyfordifferentpartsofabanktoinadvertentlyduplicateeffortswhentacklingoperationalriskor,conversely,forsuchriskstofallthroughgapsbecausenobodyismaderesponsibleforthem.Riskofusinginternalauditrecommendationsasthesolebasisoftheirapproachtooperationalrisk:thisisonlyinrelationtothekindsofoperationalriskidentifiedbyinternalauditratherthanalloperationalrisks.ObjectivityConsistencyRelevanceTransparencyBa