Operational Risk Management in a Bank

CONTENTS
INTRODUCTION
CHAPTER I. OPERATIONAL RISK IN A BANK
1.1. THE CONCEPT OF BUSINESS AND FINANCIAL RISK
1.2. DISTINCTION OF OPERATIONAL RISK IN BANKS
1.3. EXAMPLES OF SPECTACULAR OPERATIONAL RISK GENERATED LOSS
CHAPTER II. OPERATIONAL RISK AND SYSTEMIC RISK IN MODERN FINANCIAL MARKETS
2.1. STRUCTURE OF FINANCIAL MARKETS
2.2. RISK FACTORS IN THE FINANCIAL MARKET
2.3. SYSTEMIC RISK
2.4. OPERATIONAL RISK IN FINANCIAL MARKETS
2.5. RISK APPETITE
2.6. OPERATIONAL RISK AND THE GLOBAL CRISIS IN THE BANKING SECTOR
CHAPTER III. REGULATIONS CONCERNING THE MANAGEMENT OF OPERATIONAL RISK IN A BANK
3.1. SECURITY OF FINANCIAL SYSTEM
3.2. WORLD REGULATIONS IN THE SCOPE OF MANAGING OPERATIONAL RISK
3.3. EUROPEAN REGULATIONS
3.4. NATIONAL REGULATIONS
3.5. INTERNAL BANK REGULATIONS
3.6. REGULATIVE ROLE OF CORPORATE GOVERNANCE
CHAPTER IV. METHODS AND MODELS OF OPERATIONAL RISK MEASUREMENT IN A BANK
4.1. CAPITAL ADEQUACY – THE AIM OF OPERATIONAL RISK MEASUREMENT IN A BANK
4.2. FAILURE MODE EFFECTS ANALYSIS (FMEA)
4.3. RISK MATRIX
4.4. METHODS USED TO ALLOCATE THE CAPITAL TO COVER OPERATIONAL RISK
4.5. BASIC INDICATOR APPROACH (BIA)
4.6. THE STANDARDISED APPROACH (TSA)
4.7. ALTERNATIVE STANDARDIZED APPROACH (ASA)
4.8. THE SPECIFICITY OF ADVANCED MEASUREMENT APPROACHES (AMA)
4.9. ADVANCED OPERATIONAL RISK MEASUREMENT APPROACHES (AMA) TO CAPITAL REQUIREMENT OF THE BANK
4.10. COMPARISON OF METHODS DETERMINING THE CAPITAL REQUIREMENT FOR OPERATIONAL RISK
CHAPTER V. OPERATIONAL RISK MANAGEMENT SYSTEM IN A BANKING ENTERPRISE
5.1. STRATEGY AND STRUCTURE OF OPERATIONAL RISK MANAGEMENT
5.2. IDENTIFICATION OF OPERATIONAL RISK IN A BANK
5.3 ASSESSMENT AND MEASUREMENT OF OPERATIONAL RISK IN A BANK IN ORDER TO DETERMINE CAPITAL REQUIREMENT
5.4. COUNTERACTING RISK
5.5. OPERATIONAL RISK CONTROL IN A BANK
5.6. MONITORING AND REPORTING OPERATIONAL RISK IN A BANK
CHAPTER VI. AN ATTEMPT TO APPLY AMA MODEL TO CALCULATE CAPITAL ADEQUACY FOR OPERATIONAL RISK IN A BANK
6.1. FOUNDATIONS OF CALCULATING CAPITAL REQUIREMENT FOR OPERATIONAL RISK USING THE AMA APPROACHES
6.2. CALCULATING THE VALUE OF CAPITAL REQUIREMENT FOR OPERATIONAL RISK USING THE ADVANCED APPROACH AMA AND LDA MODEL.
6.3. ASSESSING DISTRIBUTION OF LOSS ACUTENESS (SIZE) IN A SELECTED RISK CLASS
6.4. ESTIMATING LOSS NUMBER (FREQUENCY) DISTRIBUTION
6.5. CREATING DISTRIBUTION LINE OF JOINT DISTRIBUTION IN A SELECTED RISK CLASS
6.6. CALCULATING TOTAL CAPITAL FOR RISK
6.7. CALCULATING CAPITAL VALUE FOR OPERATIONAL RISK FOR THE PURPOSE OF CAPITAL ADEQUACY OF A BANK
6.8. ALLOCATING CAPITAL REQUIREMENT CALCULATED FOR BANK INTERNAL SUBJECTS BY MEANS OF THE ADVANCED METHOD
CHAPTER VII. OPERATIONAL RISK CAPITAL IN BANKS IN POLAND IN THE YEARS 2010-2012
7.1. THE TOTAL CAPITAL REQUIREMENT IN THE EQUITY FUNDS OF THE STUDIED BANKS
7.2. OPERATIONAL RISK CAPITAL REQUIREMENT IN THE STUDIED BANKS
7.3. ESTIMATION OF THE CAPITAL ADEQUACY FOR OPERATIONAL RISK ON THE EXAMPLE OF TWO BIGGEST BANKS IN POLAND
CONCLUSION
BIBLIOGRAPHY
INDEX OF DIAGRAMS
INDEX OF FIGURES
INDEX OF TABLES
APPENDIX 1. THE SHARE OF THE TOTAL CAPITAL REQUIREMENT IN THE EQUITY OF BANKS IN THE YEARS 2010-2012
APPENDIX 2. THE SHARE OF OPERATIONAL RISK REQUIREMENT IN THE TOTAL CAPITAL REQUIREMENT FOR THE STUDIED BANKS IN THE YEARS 2010-2012
APPENDIX 3. OPERATIONAL RISK CAPITAL REQUIREMENT IN THE EQUITY IN SELECTED BANKS IN THE YEARS 2010-2012
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