NWU Institutional Repository

Calculating operational value-at-risk (OpVaR) in a retail bank

Loading...
Thumbnail Image

Date

Authors

Styger, Paul
Van Vuuren, Gary
Esterhuysen, Janel

Journal Title

Journal ISSN

Volume Title

Publisher

Faculty of Economic and Management Sciences, University of Pretoria

Abstract

The management of operational value-at-risk (OpVaR) in financial institutions is presented y means of a novel, robust calculation technique and the influence of this value on the capital held by a bank for operational risk. A clear distinction between economic and regulatory capital is made, as well as the way OpVaR models may be used to calculate both types of capital. Under the Advanced Measurement Approach (AMA), banks may employ OpVaR models to calculate regulatory capital; this article therefore illustrates the differences in regulatory capital when using the AMA and the Standardised Approach (SA), by means of an example. Economic capital is found to converge with regulatory capital using the AMA, but not if the SA is used.

Description

Keywords

Citation

Styger, P. et al. 2008. Calculating operational value-at-risk (OpVaR) in a retail bank. South African journal of economic and management sciences, 11(1):1-16, Mar. [http://dx.doi.org/10.1007/s40745-018-0139-2]
Styger, P. et al. 2008. Calculating operational value-at-risk (OpVaR) in a retail bank. South African journal of economic and management sciences, 11(1):1-16, Mar. [http://dx.doi.org/10.1007/s40745-018-0139-2]

Endorsement

Review

Supplemented By

Referenced By