Operational risk management

Strzelczak, S.

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Artykuł - szczegóły

Czasopismo

Prace Naukowe Politechniki Warszawskiej. Organizacja i Zarządzanie Przemysłem

2008 | z. 21 | 3-109

Tytuł artykułu

Operational risk management

Autorzy

Strzelczak, S.

Warianty tytułu

Zarządzanie ryzykiem operacyjnym

Języki publikacji

Abstrakty

The overview of up-to-date issues of operational risk management begins from a discussion of basic concepts. Different types of risks and relations between them have been carefully analyzed. It was underlined that the practice and research of risk management have been dominated by the experience of financial services, and particularly by banking and insurance. However, this sector faces rather unique business risk profiles, comparing to e.g. industry and commerce. Finally, the trade-offs between risks and risk-adjusted performance measures have been discussed, The second part of the paper focuses evaluation of operational risks. It begins from an overview of basic approaches to operational risk measurement, i.e.: qualitative, structural, actuarial and hybrid approaches. The latest combine judgment by managers and loss experience and the most representative among them are: historical loss mapping and key risk indicators (KRI). As far as it goes to operational risk measurement methods, both: top-down and bottom-up approaches have been reviewed. Of the variety of top-down models several have been discussed in details, including: stock factor models, income based models, expense based models, operating leverage models, scenario analysis, and risk-profiling models. Furthermore, the bottom-up models of operational risk measurement have been considered, of those: ALM (asset-liability management), market factors models, actuarial loss models, causal models, operational variances, stress tests and operational checklists. Referring to the causal models of risk measurement, a particular attention has been given to the Bayesian models, and particularly to the Bayesian-Belief Networks (BBN). Then the basic approaches to allocation of capital to operational risk, have been analyzed, including the most widespread within the banking sector: the basic indicator approach (BIA), the standardized approach (SA), the Advanced Measurement Approaches (AMA), i.e. the internal measurement approach (IMA), the loss distribution approach (LDA) and the scoreboard approaches. The next section of second part of the paper gives more attention to the operational risk estimation, including: the Delta method and the methods based on the extreme value theory (EVT). The qualitative and quantitative methods to estimate the catastrophic losses have been also considered. The last section of part two explains the methods for pricing operational risk bonds. The third part of the paper is dedicated to the methods, methodologies and regulations of operational risk management. The content of operational risk management is characterized in details at the beginning. An own operational risk management framework has been introduced and then the enterprise-wide risk management (EWRM) framework, proposed by DeLoach, which has been becoming more and more popular in recent years. Concerning the common regulations dedicated to operational risk management, a particular attention has been given to: G30, COSO, COCO, KonTraG, AS/NZS 4360, SOX and directives set by Basel organizations: the Bank of International Settlements and the Basel Committee on Banking Supervision.

Pierwszą część pracy, poświęconą omówieniu podstawowych koncepcji, rozpoczyna przegląd aktualnych zagadnień zarządzania ryzykiem operacyjnym. Szczegółowo przeanalizowano różne rodzaje ryzyk i relacje między spotykanymi pojęciami. Autor zwraca uwagę, że rozważana dziedzina nauki i praktyki jest zdominowana przez doświadczenia płynące z. sektora usług finansowych, a zwłaszcza bankowości i ubezpieczeń. Sektor ten styka się z bardzo specyficznym (w odróżnieniu od np. przemysłu i handlu) profilem strat powodowanych ryzykami biznesowymi. Omówiono także współzależności pomiędzy ryzykami oraz mierniki wyników uwzględniające korektę na ryzyko. Druga część pracy poświęcona jest ocenie ryzyk operacyjnych. Na wstępie dokonano przeglądu podstawowych podejść do wyceny ryzyka, tj. jakościowego, strukturalnego, aktuarialnego oraz wycen hybrydowych, tj. uwzględniających łącznie historię ryzyk i oceny menedżerskie. Spośród tych ostatnich dokładniej omówiono metodę mapowania historii strat oraz metodę kluczowycl) wskaźników ryzyka (KR1). Jeśli chodzi o metody pomiaru ryzyka, to spośród metod zstępujących porównano: model czynników aktywów, modele oparte na dochodach i wydatkach, modele dźwigni operacyjnej, analizę scenariuszy oraz modele profilowania ryzyk. Ponadto omówiono metody wstępujące, w tym: ALM (asset-liability rnanagement), modele czynników rynkowych, modele strat aktuarialnych, modele przyczynowo-skutkowe, metodę wariancji operacyjnej, testy naprężeń oraz operacyjne listy kontrolne. Jeśli chodzi o modele przyczynowo-skutkowe pomiaru ryzyka, to dokładniej omówiono modele Baycsowskic, w tym zwłaszcza t/w. sieci przekonań Bayesowskich(BBN). W dalszym ciągu scharakteryzowano podstawowe podejścia do obliczania rezerw kapitałowych na ryzyka operacyjne, a w tym: podejście oparte na podstawowym wskaźniku (BIA), podejście standaryzowane oraz szczegółowo podejścia tzw. zaawansowanego pomiaru (AMA). tj. pomiaru wewnętrznego (IMA), rozkładu strat (LDA) i tablice wyników. Następnie szczegółowo przeanalizowano metody estymacji strat spowodowanych ryzykami operacyjnymi, a w tym: metodę Delta i metody oparte na teorii wartości ekstremalnych (EVT). Przeanalizowano także metody ilościowe i jakościowe mierzenia tzw. ryzyk katastroficznych. W zakończeniu części drugiej scharakteryzowano metody wyceny obligacji na ryzyka operacyjne. Część trzecia pracy poświęcona jest metodom, metodologiom i regulacjom z zakresu zarządzania ryzykiem operacyjnym. Na wstępie omówiono szczegółowo treść zarządzania ryzykiem operacyjnym w kontekście biznesowym. Przedstawiono własny model referencyjny zarządzania ryzykiem operacyjnym, oparty na wynikach badań własnych, a także popularny w ostatnich latach model EWRM(Enterprise-Wide Risk Management)deLoach'a. Spośród regulacji dotyczących zarządzania ryzykiem operacyjnym poddano analizie: G30, COSO, COCO, KonTraG, AS/NZS 4360, SOX i dyrektywy organizacji bazylejskich: Bank of International Settlements i Basel Committee on Banking Supervision.

Słowa kluczowe

ryzyko operacyjne ocena ryzyka zarządzanie ryzykiem

operational risk risk evaluation risk management

Wydawca

Czasopismo

Prace Naukowe Politechniki Warszawskiej. Organizacja i Zarządzanie Przemysłem

Rocznik

2008

Tom

z. 21

Strony

3-109

Opis fizyczny

Bibliogr. 161 poz., rys., tab., wykr.

Twórcy

autor

Strzelczak, S.

Instytut Organizacji Systemów Produkcyjnych, Wydział Inżynierii Produkcji Politechniki Warszawskiej

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