Home  Journals  Finance and Credit  16(448) - 2011 April

Methods of capital estimation for operational risk on the basis of indicator «gross income»

Available online: 19 April 2011

Subject Heading: Banking

JEL Classification: 

The author studies in the given article the methods of capital estimation for operational risk on the basis of the most liable to risk indicator - gross income. In the national bank system the basic indicative method of RF Central Bank and Basel II is realized; capital for operational risk is also estimated on the standardized Basel II methods. As an alternative approach to economic capital estimation the author suggests Monte Carlo method for calculation of VaR on the basis of Excel -VBA integration. As a result, capital insufficiency for cover of operational risk is revealed, imperfection of Russian management system of operational risk is substantiated. The suggested methods were approved in Russian credit organizations with different means of Basel II realization.

Keywords: basic indicative, standardized methods of operational risk estimation, unexpected, expected losses, Monte Carlo method, operational VaR, indicator of liability to operational risk

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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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