The Basel Handbook
First published:
ISBN: 9781904339557
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Constructing an Operational Event Database
Michael Haubenstock
Development and Validation of Key Estimates for Capital Models
Explaining the Correlation in Basel II: Derivation and Evaluation
Explaining the Credit Risk Elements in Basel II
Loss Given Default and Recovery Risk: From Basel II Standards to Effective Risk Management Tools
Assessing the Validity of Basel II Models in Measuring Risk of Credit Portfolios
Measuring Counterparty Credit Risk for Trading Products under Basel II
Implementation of an IRB-Compliant Rating System
Stress Tests of Banks’ Regulatory Capital Adequacy: Application to Tier 1 Capital and to Pillar 2 Stress Tests
Advanced Credit Model Performance Testing to Meet Basel Requirements: How Things Have Changed!
Designing and Implementing a Basel II Compliant PIT–TTC Ratings Framework
Basel II in the Light of Moody’s KMV Evidence
Basel II Capital Adequacy Rules for Retail Exposures
IRB-Compliant Models in Retail Banking
Basel II Capital Adequacy Rules for Securitisations
Regulatory Priorities and Expectations in the Implementation of the IRB Approach
Market Discipline and Appropriate Disclosure in Basel II
Validation of Banks’ Internal Rating Systems – A Supervisory Perspective
Rebalancing the Three Pillars of Basel II
Implementing a Basel II Scenario-Based AMA for Operational Risk
Loss Distribution Approach in Practice
An Operational Risk Rating Model Approach to Better Measurement and Management of Operational Risk
Constructing an Operational Event Database
Insurance and Operational Risk
INTRODUCTION
Capturing a history of operational events has become a standard practice for an operational risk management framework. An event history has demonstrated value for both the quantification and qualitative analysis of risk. This chapter deals with the practical aspects of internal data collection, from detection through reporting. Clear direction and guidance has been given by the Basel Committee and regulators on the necessity for event data.
Regulatory requirements embodied in the Basel II proposals for operational risk management tend to be oriented toward a capital charge for operational risk. Yet industry practice often extends beyond the regulatory guidelines. These minimum regulatory requirements will be discussed here, as well as key decisions to be made on how and where to extend the event database beyond regulatory requirements. In addition, in many places the regulatory guidance is not specific, stating only that organisations should develop consistent policy. Key areas where specific organisational decisions and policies are required will also be identified.
This chapter is organised into the following major sections:
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Basel II and regulatory
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