Selected paper

Valová, Ivana
Basel II Approaches for the Calculation of the Regulatory Capital for Operational Risk
Year: 2011
Volume: 2
Issue: 1
Pages: 33-48
JEL: G21, G28, G32

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Keywords:
operational risk, advanced measurement approach (AMA), standardized approach (TSA), basic indicator approach (BIA)

Abstract:
The final version of the New Capital Accord, which includes operational risk, was released by the Basel Committee on Banking Supervision in June 2004. The article “Basel II approaches for the calculation of the regulatory capital for operational risk” is devoted to the issue of operational risk of credit financial institutions. The paper talks about methods of operational risk calculation, advantages and disadvantages of particular methods.

References:

1) Monographs: DVOŘÁK, P. (2005). Bankovnictví pro bankéře a klienty. 3rd ed. Praha: Linde, 681 p. ISBN 80- 7201-515-X. GREGORIOU, G. N. (2009). Operational Risk toward Basel III. Best Practices and Issues in Modeling, Management and Regulation. John Wiley and Sons, Inc., 497 p. ISBN 978-0-470-39014-6. KAŠPAROVSKÁ, V. et al (2006). Řízení obchodní bank, 1st ed. Praha: nakladatelství C. H. Beck, 339 p. ISBN 80-7179-381-7. ONG, M. & composite autors (2007). The Basel Handbook. A Guide for Financial Practioners. 2nd edit. Incisive Financial Publishing Ltd, 662 p. ISBN 1-904339-55-7. 2) Framework and legislation: BCBS: Sound Practices for the Management and Supervision of Operational Risk, February 2003 [online] available on www.bis.org. BCBS: International Convergence of Capital Measurement and Capital standards – Revised Framework - Comprehensive Version, June 2004 [online] available on www.bis.org. BCBS: “The Basel Core Principles for Effective Banking Supervision” – Revised Framework, October 2006 [online] available on www.bis.org. BCBS: Results from the 2008 Loss Data Collection Exercise for Operational Risk, July 2009 [online] available on www.bis.org. BCBS: Recognising the risk-mitigation impact of insurance in operational risk modeling, October 2010 [online] available on www.bis.org. EC: Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006 relating to the taking up and pursuit of the business of credit institutions. EC: Directive 2006/49/EC of the European Parliament and of the Council of 14 June 2006 on the capital adequacy of investment firm and credit institutions. EC: The Capital Requirements Directive (“CRD I - IV”). EC: Directive 2009/111/EC of the European Parliament and of the Council of 16 September 2009 amending directive 2006/48/EC, 2006/49/EC and 2007/64/EC (known as “CRD II”). G CZ: Decree No. 123/2007 Coll. stipulating the prudential rules for banks, credit unions and investment firms, as amended by Decree No. 282/2008 Coll., which came into force on 1st July 2007. 3) Internet information sources: Bank for International Settlements. Available at: http://www.bis.org Czech National Bank. Available at: http://www.cnb.cz 4) Others CNB: „Basilejské základní principy efektivního bankovního dohledu”, 2006. CNB “Operační riziko a jeho dopady do finanční stability”, http://www.cnb.cz.

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