Calculating operational value-at-risk (OpVaR) in a retail bank
South African Journal of Economic and Management Sciences
| Field | Value | |
| Title | Calculating operational value-at-risk (OpVaR) in a retail bank | |
| Creator | Esterhuysen, Ja'nel Styger, Paul van Vuuren, Gary Wayne | |
| Description | The management of operational value-at-risk (OpVaR) in financial institutions is presented by 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. | |
| Publisher | AOSIS Publishing | |
| Date | 2012-05-07 | |
| Identifier | 10.4102/sajems.v11i1.374 | |
| Source | South African Journal of Economic and Management Sciences; Vol 11, No 1 (2008); 1-16 2222-3436 1015-8812 | |
| Language | eng | |
| Relation |
The following web links (URLs) may trigger a file download or direct you to an alternative webpage to gain access to a publication file format of the published article:
https://sajems.org/index.php/sajems/article/view/374/161
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