Підходи до моделювання операційного ризику банку

Abstract

The purpose of the article is to study the economic essence and approaches to taxonomy and quantitative assessment of the bank’s operational risk, taking into account the evolution of standards defined by international institutions. The development of financial technologies, along with stochastic factors, require banks to adapt their own operations in response to new challenges or changes in existing threats affecting the operational sustainability of banking institutions. The statistics of the threatening impact of the frequency of events and cumulative losses from operational risk events are presented. It is noted that operational events can be quite diverse in nature, very unpredictable and threatening in general financial impact. This requires continuous improvement of the risk management system and timely validation of the bank’s operational risk assessment models. The article discloses the essence, sources, factors and operational events that are constantly evolving. Also the content of the model instrumentarium is disclosed. It is noted that the economic nature of operational risk has internal and external sources, several levels of their manifestation, covers all processes, products and systems of bank, including the human factor. The article generalizes taxonomy of operational risk according to various criteria. It is proved that it is the distribution of business lines that helps banks to more easily identify the types of operational risk events inherent in each individual bank, taking into account the peculiarities of their own business models. The multiplicity of operational risk events justifies the need for their adequate assessment and use of new methods for predicting and eliminating threats. The advantages of an actuarial approach are substantiated. Actuarial models can be used both at the level of «top – down» and the level of «bottom – up», have significant advantages in both methodological and practical aspects in calculating the amount of capital required to absorb risks from the implementation of risk events. The major shortcomings of the three main approaches proposed to the assessment of operational risk in Basel II (AMA, TSA, BIA) are highlighted. Updated by the Basel Committee, the standardized approach is a combination of best practices for assessing operational risk that can be applied in any bank, regardless of jurisdiction, size, and business model.