The master thesis is dealing with the contemporary issues of operational risk management in financial institutions. Author sets a theoretical basis and legal background of the topic and describes the contemporary practices of managing the operational risk. Author focuses on the scenario analysis as a specific method which is described and evaluated. Scenario analysis is applied on the rogue trading risk. In the thesis there is created a model institution on which author applies the operational risk theory using best practices and expert opinions. The model situation provides the analysis of the processes of the financial institution and choose the suitable measures in order to defend against the risk. The author also analyses the past cases of rogue trading which helps to understand the prevention and the historical significance of the operational risk.

Diplomová práce analyzuje a doporučuje vhodné nástroje pro zajištění proti kurzovému riziku. Obsahuje teoretické poznatky z oblasti podnikových financí a zajištění kurzového rizika, analýzu mezinárodní firmy a návrh vhodného finančního nástroje pro zajištění kurzu měny.

Alma Andina EIRL. es una empresa interesada en invertir en el rubro agrícola mediante la producción y comercialización de productos hidropónicos en la región Tumbes; por lo que requiere la creación del Caso de Negocio que servirá para sustentar la factibilidad sobre la inversión de USD $449,369.94 necesaria para incursionar en esta nueva línea de negocio, frente a su posible socio capitalista. Dicha inversión espera un Valor Presente Neto (VPN) de US$161,950.05 para 5 años de operación y una Tasa Interna de Retorno (TIR) de 16.72%. Para la realización de dicha inversión será necesario la ejecución de un proyecto que involucra el “Diseño, Construcción y Equipamiento de una Planta de Producción Hidropónica en la Región Tumbes” con una capacidad diaria de producción de 2000 unidades, un Presupuesto Total de $364,114.80 y un plazo de ejecución de 6 meses. Para asegurar el éxito en la ejecución de dicho proyecto se realizará un Plan para la Dirección del Proyecto aplicando las buenas prácticas de clase mundial que brinda el PMI® a través de los estándares presentados en la Guía del PMBOK®, 5ta Edición. / Alma Andina EIRL. is a company interested in investing in agriculture through the production and marketing of hydroponic products in the Tumbes region; so, it requires the creation of the Business Case that will serve to support the feasibility of the investment of USD $449,369.94 necessary to enter this new line of business in front of its potential capitalist partner. This investment expects a Net Present Value (VPN) of US$161,950.05 for 5 years of operation and an Internal Return Rate (IRR) of 16.72%. To carry out this investment will require the execution of a project involving the "Design, Construction and Equipment of a Hydroponic Production Plant in the Tumbes Region" with a daily production capacity of 2000 units, a Budget Total $364,114.80- and 6-month execution time. To ensure success in the implementation of this project, a Plan for Project Management will be carried out applying the world-class best practices provided by the PMI® through the standards presented in the PMBOK guide®, 5th Edition. / Trabajo de investigación

[pt] O risco operacional, que é definido como a possibilidade de ocorrência de perdas resultantes de falha, deficiência ou inadequação de processos internos, pessoas e sistemas, ou de eventos externos, está presente em qualquer atividade de uma instituição, seja ela financeira ou não. Essas características tornam a gestão e a mensuração desse risco desafiadoras e completamente diferentes dos demais tipos de risco. Apesar de Basileia II, em 2004, ter proposto diretrizes para os modelos internos de risco operacional, que visam determinar a quantia de capital que deve ser reservada para fazer frente a esse risco, os modelos internos de risco operacional ainda não se desenvolveram como os modelos de risco de crédito e mercado. Esse fato levou o Comitê de Basileia a sinalizar a intenção de eliminar os modelos internos para mensuração do risco operacional recentemente, substituindo todas as abordagens atuais, inclusive os modelos internos por uma abordagem padronizada única, que considera as perdas internas das instituições financeiras. A ausência de bases de dados internas abrangentes e que contemplem todos os riscos operacionais aos quais uma instituição financeira está exposta criou a necessidade de utilizar outros elementos, como os dados de perdas externas e os cenários. No entanto, esses elementos são criticados pela subjetividade. Esta tese teve como objetivo demonstrar a utilização do elemento análise de cenários na metodologia Loss Distribution Approach (LDA) para cálculo do capital regulamentar referente ao risco operacional tendo como referência a experiência do Banco Nacional de Desenvolvimento Econômico e Social (BNDES) na integração da gestão do risco operacional com a mensuração do capital. A metodologia proposta possibilitou, dentre outros: (i) a mensuração do capital regulamentar considerando cenários factíveis; (ii) a identificação de cenários de cauda e de corpo da distribuição agregada de perdas, que não estão refletidos na base de dados internas de perdas; (iii) a identificação e mensuração dos riscos operacionais do BNDES de forma abrangente; (iv) a obtenção de informações que podem direcionar a gestão do risco no que se refere à identificação de riscos que devem ter o tratamento priorizado; (v) o desenvolvimento de uma cultura de riscos, tendo em vista o envolvimento de especialistas de diversas unidades; (vi) a utilização de uma metodologia compreensível a todos os especialistas de negócios, que são os que conhecem os riscos de suas atividades. / [en] Operational risk, which is defined as the possibility of losses resulting from failure, deficiency or inadequacy of internal processes, people and systems or from external events, is present in any activity of an institution, be it financial or not. These features make the management and measurement of this risk challenging and completely different from other types of risk. Although Basel II in 2004 has proposed guidelines for the internal models for operational risk, which aim to determine the amount of capital that must be set aside to cover this risk, operational risk internal models have not yet developed as credit risk and Market models. This has led the Basel Committee to signal the intention to eliminate internal models for measuring operational risk recently, replacing all current approaches, including internal models by a single standardized approach, which considers the internal losses of financial institutions. The absence of comprehensive internal databases that include all operational risks to which a financial institution is exposed has created the need to use other elements such as external data loss and scenarios. However, these elements are criticized for its subjectivity. This thesis aimed to demonstrate the use of the element scenario analysis in Loss Distribution Approach (LDA) methodology for calculating regulatory capital for operational risk with reference to the experience of the Brazilian Development Bank (BNDES) in the integration of operational risk management with the measurement of capital. The proposed methodology allowed, among others: (i) the measurement of regulatory capital considering feasible scenarios; (ii) identification of tail and body scenarios of the aggregate losses distributions, which are not reflected in the internal loss database; (iii) the identification and measurement of BNDES s operational risk in a comprehensive manner; (iv) obtaining information that can target the risk management as regards the identification of risks that should be prioritized treatment; (V) developing a risk culture in view of the involvement of experts from various units; (Vi) use a comprehensive approach to all business experts, who are the ones who know the risks of their activities.

Актуальность темы исследования заключается в совершенствовании системы управления рисками применительно к деятельности коммерческих банков и приобретает все большее значение в контексте коммерческой банковской деятельности, независимо от того, относятся ли эти риски активным кредитным операциями или рискам, связанным с платежами и расчетами, клиринговыми услугами, прочей банковской деятельностью. Цель исследования - состоит в разработке мероприятий по совершенствованию системы управления операционным риском коммерческого банка. Практическая значимость работы заключается в том, что предлагаемые меры по применению шкалы операционных нарушений и мероприятий по доработке процесса кредитования могут быть использованы ПАО «Синара банк» в своей практической деятельности. Эффективность рекомендаций - предложенные автором рекомендации по совершенствованию системы управления операционным риском позволят скорректировать. В результате мероприятий, планируемое снижение операционных нарушений в рамках последующего контроля, повышение компетенций операционных сотрудников Банка, оптимизация процесса кредитования, минимизировать время предоставления кредита в банке, на 20%. / Актуальность темы исследования заключается в совершенствовании системы управления рисками применительно к деятельности коммерческих банков и приобретает все большее значение в контексте коммерческой банковской деятельности, независимо от того, относятся ли эти риски активным кредитным операциями или рискам, связанным с платежами и расчетами, клиринговыми услугами, прочей банковской деятельностью. Цель исследования - состоит в разработке мероприятий по совершенствованию системы управления операционным риском коммерческого банка. Практическая значимость работы заключается в том, что предлагаемые меры по применению шкалы операционных нарушений и мероприятий по доработке процесса кредитования могут быть использованы ПАО «Синара банк» в своей практической деятельности. Эффективность рекомендаций - предложенные автором рекомендации по совершенствованию системы управления операционным риском позволят скорректировать. В результате мероприятий, планируемое снижение операционных нарушений в рамках последующего контроля, повышение компетенций операционных сотрудников Банка, оптимизация процесса кредитования, минимизировать время предоставления кредита в банке, на 20%.

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Abstract (english) Objectives The main objective of this work is to design methods and proceadures enhancing effectiveness and efficiency of IT audit in banks with the accent given to their use by the supervisory authorities. Another objective of the work (and an essential starting point at the same time) is a summary and assesment of methods and proceadures developed and implemented into the CNB practice with regard to banking supervision in the area of information systems. Objectives Achievement From the methodological point of view the esential starting point of the work was represented by above mentioned objectives that were used for elaboration of a set of questions. Questions enabled to set up the hypotheses. (Another more particular hypotheses were defined in order to design the particular solutions in chapter 5.) Futhermore, the critical factors (problems) were defined in the process of the questions analyses. Subsequently, the solutions were specified. The solutions confirmed the hypotheses which reflected the achievement of the objectives. Description, categorisation, analyses, screening, modelling, comparative analyses and sample testing were used to achieve the objectives. In particular, the solutions that were elaborated, making use of methods described above, enhance effectiveness and efficiency of IT audit in banks. Moreover, the CNB's proceadures and methods were introduced and assesed within the work. Scientific Contribution The work brings an evidence of correlation between the quality of IT audit in banks and their economical performance. With this regard the work contributes with original conclusions, benchmarks and proceadures that may be used by banks, supervisory authorities and IT auditors. These conclusions are achieved by description, categorisation, analyses, modelling and screening research highlighting the role of the rentability, the productivity, the risks, the inovations and the economical value of information. Furthermore, the IT audit and IT supervision in banks are specified. They are also compared and contrast to the other audit cathegories. The work presents important peaces of evidence regarding the role of IT audit in this context. This is made by description, cathegorisation and analyses. Another contribution represents proceadures and methods developed and implemented (to the large extend by author) in the field od IT banking supervision in the Czech Republic. This delivers valuable outputs for foreign supervision authorities, banks and auditors. The work lead to original solutions of critical factors. These solutions are to use by IT audit and IT supervision (and also in audit work generally). The solutions make use of ceartain atributes of Capability Maturity Model (CMM) and were elaborated in the proces of decsription, cathegorisation, screening research, comparative analyses, hypotheses seting and testing. The solutions enhances acuracy and objectiveness of assesment done by IT auditors. The solutions lead to better comparativeness of audit outputs on both national and international level, give better preconditions for risk assesment and capital adequacy evaluation within BASEL II and enhance the information value of audit ouptuts. The structure (content) of the work reflects the above mentioned articles that give a brief description of the main four parts (chapters) of the work.

This research sheds light on the nature of the role of the operational risk controller in the financial services industry. The focus is on understanding how operational risk controllers interact with different layers of the organisation and become influential with the business lines and senior management. Nine semi-structured interviews were conducted with operational risk controllers, and it was found that their work is becoming increasingly focused on managing people with a view to creating mutual understanding. To achieve this, operational risk controllers should work more as independent facilitators in their interactions with the first line and senior management, as engaged toolmakers when adapting and reconfiguring tools, and as non-financial risk controllers when attempting to enable business leaders to understand the magnitude of operational risks.

A aplicação de Redes Bayesianas como modelo causal em Risco Operacional e extremamente atrativa do ponto de vista do gerenciamento dos riscos e do calculo do capital regulatorio do primeiro pilar do Novo Acordo da Basileia. Com as Redes e possível obter uma estimativa do VAR operacional utilizando-se não somente os dados históricos de perdas, mas também variáveis explicativas e conhecimento especialista através da possibilidade de inclusão de informações subjetivas. / The application of Bayesian Networks as causal model in Operational Risk is very attractive from the point of view of risk management and the calculation of regulatory capital under the first pillar of the New Basel Accord. It is possible to obtain with the networks an estimate of operational VAR based not only on the historical loss data but also in explanatory variables and expert knowledge through the possibility of inclusion of subjective information.

A aplicação de Redes Bayesianas como modelo causal em Risco Operacional e extremamente atrativa do ponto de vista do gerenciamento dos riscos e do calculo do capital regulatorio do primeiro pilar do Novo Acordo da Basileia. Com as Redes e possível obter uma estimativa do VAR operacional utilizando-se não somente os dados históricos de perdas, mas também variáveis explicativas e conhecimento especialista através da possibilidade de inclusão de informações subjetivas. / The application of Bayesian Networks as causal model in Operational Risk is very attractive from the point of view of risk management and the calculation of regulatory capital under the first pillar of the New Basel Accord. It is possible to obtain with the networks an estimate of operational VAR based not only on the historical loss data but also in explanatory variables and expert knowledge through the possibility of inclusion of subjective information.