Abstract
The tracking of internal operational loss data is essential to the entire operational risk management and measuring process. This data is collected and organized in the time series. The internal loss database is fundamental in the estimation of economic capital to cover against operational risk. In terms of operational loss data gathering, the data is collected straight from the profit-and-loss (P&L) system and related systems whenever possible and economically feasible. The basis of this logic lies in the fact that when an operational risk loss affects assets or accounts maintained on a mark-to-market basis, the economic impact of the event is usually the same as the accounting impact. This chapter delineates a framework based on statistical and mathematical approaches to measure and manage this risk, and highlights the requirements for the data architecture of the model. It depicts the quantitative models proposed and shows an outline of the proposed framework.
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