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Revista Ingenierías Universidad de Medellín
versão impressa ISSN 1692-3324versão On-line ISSN 2248-4094
Resumo
ARBELAEZ, Juan Camilo et al. Riesgo operacional: reto actual de las entidades financieras. Rev. ing. univ. Medellin [online]. 2006, vol.5, n.9, pp.97-110. ISSN 1692-3324.
Its main objective is to succinctly present a description of the models considered the most relevant in the wide range of possibilities for the quantification of operational risk. The article is structured in the following form: first it briefly contextualizes operational risk in the frame of financial risks in general, and in the frame of the current regulations world-wide. In the following section the basic models (Basic Indicator Approach, Indicator Standard Approach and Alternative Standard Approach) proposed for the quantification of the operational risk are described. Then it describes the minimum general, qualitative and quantitative requirements, in the light of the New Basilea Agreement, that should be met by the advanced measurement approach that financial organizations try to submit to approval of the regulating institutions. Later, it shows some recent specific local and world-wide studies and finally some conclusions are obtained.
Palavras-chave : operational risk; basic indicator approach; indicator standard approach; advanced measurement approach; extreme value theory; peaks over threshold.