The Use of Key Risk Indicators in Operational Risk Management in Banks
DOI:
https://doi.org/10.15678/ZNUEK.2014.0929.0503Keywords:
risk, operational risk, risk measurement methods, Key Risk Indicators KRIAbstract
Operational risk is defined as the possibility of losses resulting from the failure, deficiency or inadequacy of internal processes, people and systems or from external events. Operational risk measurement methods are different from techniques applicable to other types of risk. The particular issues involved in operational risk and the difficulty of estimating its impact on the level of income earned significantly complicate the measurement. Therefore, in order to estimate the level of operational risk there is a tendency to take a comprehensive approach to operational risk management, understood as the combination of qualitative risk estimation, quantitative measurement methods and Key Risk Indicators (KRI). The main objective of the paper is to analyse the most important aspects of the use of KRI in managing operational risk. This objective determines the paper’s structure. I analyse the definition, characteristics, applications and quantification methods of KRI, in that order.
Downloads
References
Allen L., Bali T. [2004], Cyclicality in Catastrophic and Operational Risk Measurements, City University of New York.
BCBS [2004], International Convergence of Capital Measurement and Capital Standards, Basel Committee on Banking Supervision, Basel.
BITS Financial Services Roundtable [2004], Developing a KRI Program: Guidance for the Operational Risk Manager, www.bits.org/publications/doc/KRIprogram0904.doc.
Bourque W. [2003], Buy Side Operational Risk, Conference Society of Actuaries Conference Investment Risk: The Operational Side, Montreal.
Corporate Governance Survey 2003 part I, Op Risk Disclosure: a Long Road Ahead [2003], Operational Risk, June 1st 2003 / vol. 4, no 6, http://db.riskwaters.com/public/showPage.html?page=277094.
Cruz M. [2002], Modeling, Measuring and Hedging Operational Risk, John Wiley & Sons, Chichester.
Davies J., Finlay M., McLenaghen T., Wilson D. [2006], Key Risk Indicators – Their Role in Operational Risk Management and Measurement, „RiskBusiness International”, February.
Finlay M. [2004], A Structured Framework for KRIs, „OpRisk&Compliance”, July.
Goodhart Ch. [2001], Operational Risk, LSE Financial Market Group, Special Paper Series, London.
Harmantzis F. [2004], Operational Risk Management in Financial Services and the New Basel Accord, http://papers.ssrn.co/sol3/papers.cfm?abstract_id=579321.
IOR [2010], Operational Risk Sound Practice Guidance: Key Risk Indicators, Institute of Operational Risk (IOR), November.
Jajuga K., Jakóbczak J. [2004], Operational Risk – New Tendencies in Measurement, prezentacja, Warszawa, czerwiec, http://www.kdpw.pl/konferencje.
Jamson R. [2002], The True Cost of Operational Risk, „Erisk”, February.
Jorion P. [2007], Financial Risk Manager, Handbook, John Wiley & Sons, New Jersey.
Karwański M. [2012], Model integracji danych dla prognoz eksperckich w informatycznych systemach zarządzania ryzykiem, SGGW, Warszawa 2012.
King J. [2001], Operational Risk: Measurement and Modelling, John Wiley & Sons, Chichester.
Korona R. [2011], Wyznaczanie wartości progowych i krytycznych KRI, PRMIA, http://start5g.ovh.net/~prmia/prezentacje/12.09.2011KRI.pdf.
Maderak K. [2010], Ewolucja metod kwantyfikacji ryzyka, „Bank”, nr 9 (214).
Marshall C. [2001], Measuring and Managing Operational Risk in Financial Institutions, John Wiley & Sons, Singapore.
McLenaghen T. [2007], The Data Puddle Challenge, „Oprisk&Compliance”, 1 August.
Orzeł J. [2005], Na drodze do zaawansowanych metod ilościowego pomiaru ryzyka operacyjnego – KRI, „Bank i Kredyt” nr 6.
Rowe D. [2003], The Operational Risk Pyramid, „Risk”, August.
Sanyal A. [2005], A Pragmatic Approach to Modelling KRIs and Their Impact on OpVaR, „Operational Risk”, May.
Scandizzo S. [2005], Risk Mapping and Key Risk Indicators in Operational Risk Management, „Economic Notes”, vol. 34, nr 2, July, http://dx.doi.org/10.11/j.0391--5026.2005.00150.x.
Strupczewski G. [2008], Pojęcie i struktura procesu zarządzania ryzykiem ze szczególnym uwzględnieniem ryzyka katastroficznego [w:] Ubezpieczenia wobec wyzwań XXI wieku, red. W. Ronka-Chmielowiec, Prace Naukowe Akademii Ekonomicznej we Wrocławiu nr 1197, Wrocław.
Taylor Ch., Davies J. [2003], Getting Traction with KRIs: Laying the Groundwork, „The RMA Journal”, November.
Thlon M. [2012], Zarządzanie ryzykiem operacyjnym przedsiębiorstwa. Metoda szacowania ryzyka Delta-EVT, Wydawnictwo Uniwersytetu Ekonomicznego w Krakowie, Kraków.
