Part I: Capture and Determination of the Four Data Elements

Rafael Cavestany

The results of an operational risk capital model are primarily dependent on the inputs provided to the modelling. This dependence is even higher than in other risk models, because, in the case of operational risk capital, inputs include significant portions of expert opinions and very diverse sources, and many inputs are internally generated by the institution.

According to the BCSG-AMA (the abbreviation used in this book for referring to the document issued by Basel Committee on Banking Supervision titled “Operational Risk – Supervisory Guidelines for Advanced Measurement Approaches”),11 This work bases its regulatory references on various Basel Committee documents. Nevertheless, we believe these references are perfectly applicable to other regulated industries, such as the insurance sector. In fact, regulatory frameworks across industries and jurisdictions share basic principles. We also believe that the operational risk principles defined in this work are usable for the modelling of operational risk even in non-financial industries such as energy and utilities. Indeed, most of the principles defined in the financial sector regulation can be used for the internal governance

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