Riscos operacionais - uma aplicação do método de distribuição de perdas agregadas: um estudo de caso em instituição financeira

• Ano de defesa: 2005
• Autor(a) principal: Freitas, Luiz Eduardo Magalhães de
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Risco operacional; Alocação de capital
• Link de acesso: http://www.repositorio.ufc.br/handle/riufc/6763

This paper demonstrates the application of stochastic process Aggregate Loss Distribution Approach for measure of operational risk in a financial institution in according with the minimal requirement of Basel New Adequacy Capital Framework. The mesure uses the historical behaviour of specific operational losses wich happened in the period from 2001,jan to 2004, dec, caused by frauds in and out the company. The process involves the probability distributions fit to frequency and severity historic loss data, the adjustment validation through the application statistical tests and the compound of frequency and severity distributions for production of aggregate yearly loss distribution using Monte Carlo simulation. It approaches either a backtest model for result validation and the stress scenarios development for impacts verification in the capital allocation. This paper clarifies the application of Aggregate Loss Distribution Approach to mesure operational risks, with objective features of validation at every process stages as well as its use as a tool of evaluation from the extreme risk efects and focus in risks mitigation actions through the development scenarios for stresstesting.