Вимірювання (оцінка) та моделювання операційного ризику банку

Abstract

In modern conditions of implementing banking activity under the influence of rapid technologization, the worldwide globalization and transformation processes, there is a significant vulnerability to risks. The risks that banks are exposed to during their activities can be divided into those that are subject to quantitative measurement (assessment) and those that cannot be quantified. Among all banking risks, operational risk has the greatest unpredictability and destructive nature of influence on the bank, able of instantly jeopardizing as the bank’s activities so its functioning. Operational risk is one of the risks that are inherent in quantitative measurement (assessment). Measurement (assessment) of the bank’s operational risk is an element of management of such a risk. The impact of operational risk on banking activities is manifested in the amount of economic effect (losses). To assess the economic effect of the impact of operational risk on banks, a retrospective approach was used as part of the study described in the article. The study on assessment of losses from operational risk was carried out on the basis of analysis of statistical data on the operational risk events in both the worldwide and the domestic banking practice for the last 30 years: from 1991 to 2021. Since the norms for maintaining databases of internal and external events of operational risk by the banks of Ukraine are correspondingly applied as mandatory and additional instruments for measuring operational risk since 2018, the authors of the article carry out modeling and analysis of the aforementioned databases of operational risk events on the basis of statistical data on the operational risk events for 2018–2021. As a result of the study, the model of measurement (assessment) of economic effect (losses) of operational risk, taking into account its sources, is specified. The model approbation in practical banking activities will increase efficiency of the operational risk management. A prospect for further research on measurement (assessment) and modeling of operational risk can be the accumulation of data on operational risk events for more annual periods and the construction on their basis of the model of losses from the operational risk of bank.