Esta investigación rescata y contrasta, mediante una revisión literaria, las diversas estrategias empleadas por las empresas que no pertenecen al sistema financiero (empresas no financieras), para la gestión de sus riesgos operacionales provenientes de sus procesos internos, del personal, de la tecnología de la información, por eventos externos y relacionados con el ámbito legal. Asimismo, se expone la aplicación de diversos sistemas, prácticas y métodos que permiten la implementación y el desarrollo exitoso de las estrategias orientadas a la gestión del riesgo operacional. Finalmente, se presentan conclusiones basadas en el contraste y la importancia de las estrategias expuestas, así como recomendaciones para aplicar en estudios posteriores o en el contexto particular de una empresa. / Through a literary review, this research rescues and contrasts the various strategies used by companies that do not belong to the financial system (non-financial companies), for the management of their operational risks arising from their internal processes, personnel, information technology, by external events and related to the legal field. Likewise, the application of various systems, practices and methods that allow the successful implementation and development of strategies aimed at managing operational risk is exposed. Finally, conclusions are made based on the contrast and the importance of the exposed strategies, as well as recommendations for their application in subsequent studies or in the particular context of a company. / Trabajo de Suficiencia Profesional

Bakgrund: Digitaliseringen har lett till förändrade förutsättningar för finansmarknaden och finansiella tjänster som Swish och Bank-ID är idag väletablerade och används av miljontals svenskar. I takt med utökad innovation har fintech-bolagen vuxit fram, vilka sträcker sig från mindre start-ups till framgångsrika aktörer som Klarna. Fintech-bolag erbjuder finansiella lösningar på ett digitalt innovativt sätt. Till följd av införandet av PSD2 som innebär att banker är skyldiga att möjliggöra transaktion och kontoinformation till tredjepartsaktörer, har intresset vuxit bland nya aktörer att ge sig in i finansbranschen. För bankerna har detta inneburit förändrade marknadsförutsättningar med kunder som väljer att ha sitt finansiella innehav hos olika finansiella aktörer. Bankerna har inte längre den hela bankkunden och ett sätt att bemöta den nya marknadssituationen har varit för bankerna att ingå strategiska allianser med fintech-bolag.   Syfte: Syftet med uppsatsen har varit att undersöka och identifiera vilka strategiska val de fyra största bankerna i Sverige har gjort för att möta den nya utmaningen från fintech-bolag.  Metod: Studien är en kvalitativ fallstudie, vars datainsamling inhämtats från fem semistrukturerade intervjuer med respondenter från de fyra största bankerna i Sverige. Studien har en deduktiv ansats med induktiva inslag och intervjuunderlaget framtogs utifrån vald referensram. Utifrån empiri, referensram samt tidigare forskning har analys genomförts för att redogöra bankernas strategiska val samt operativa risker.      Slutsats: Studien visar att de fyra största bankerna i Sverige använt strategier av varierande karaktär när de ingått samarbeten med fintech-bolag. Fokus på snabbhet, för att som bank vara aktuell på marknaden samt en ökad flexibilitet som mindre formellt knutna samarbeten bidrar till, identifieras som anledningar till att bankerna väljer att ingå samarbeten med fintech-bolag. Studien identifierar två huvudsakliga orsaker som motverkar bankernas innovationskraft, vilka grundar sig i en historisk passivitet till innovation samt omfattande regleringar. Vidare argumenteras skillnader i kultur och riskattityd som försvårande omständigheter för ett framgångsrikt samarbete mellan parterna. I samband med strategiska allianser har flertalet operativa risker identifierats, vilka riskerar få konsekvenser på bankernas rykte och varumärke. Samarbetena riskerar medföra konsekvenser som berör hela bankernas verksamheter, varför grundläggande riskanalys blir viktigt för bankerna att genomföra innan samarbetena ingås. Däremot konstaterar studien att svårigheter uppstår vid utförandet av riskanalys till följd av att många nya fintech-bolag saknar den bolagsdata som krävs för att fastställa riskprofil.

In this doctoral thesis is suggested the methodics for determination the risk structure depending on the corporate life cycle with considering the sector sensitivity to the economic cycle. The share of the operational and financial risk is calculated using the beta coefficient, in which the selected measuring quantities are included. The phases of the corporate life cycle are identified according to the quadrants of the Boston matrix and the sector sensitivity to the economic cycle is determined using the Spearman´s rank correlation coefficient describing the relation between the gross domestic product and sales of the sector. The methodics is applicable for both managers and investors.

Purpose This paper aims to investigate the attributes and information content of risk reporting in two different institutional and regulatory, namely, Canadian and German, settings during the period surrounding the financial crisis of 2008. Design/methodology/approach For a matched sample of manufacturing firms in the period 2006–2010, this study conducts a detailed content analysis of annual reports to assess and compare the volume and patterns of risk disclosures. Panel regressions are used to explore how risk disclosures related to corporate risk proxies and performance indicators. Findings Over the sample period, Canadian and German firms increase the volume but largely maintain the patterns of risk disclosures. Risk disclosures relate to corporate risk proxies but are not incrementally informative to assess firm performance. Originality/value The paper contributes to research on risk reporting by providing detailed cross-country evidence for a period particularly shaped by significant risk. The findings have implications for the regulation and usefulness of risk reporting.

[pt] O gerenciamento de risco em instituições bancárias, mais do que mera imposição das agências reguladoras distingue-se como fator de sucesso na melhoria dos processos, aumentando o resultado financeiro. Após o Acordo da Basiléia, a gerência de riscos de mercado e de crédito, cuja atuação se dá sobre as receitas, passou a ser realizada. Entretanto, alguns riscos atuam sobre as despesas, destacando-se o operacional, que é o risco de perdas oriundas de problemas com controles internos, sistemas, pessoas e eventos externos. O objetivo deste trabalho foi elaborar uma revisão abrangente da literatura e um protótipo de sistema computacional que permite medir o VaR do risco operacional de uma unidade de risco, utilizando o Modelo de Distribuição de Perdas (LDA), e aplicar modelos causais que expliquem estas perdas. Este protótipo é uma aplicação Internet/intranet desenvolvida na linguagem ASP e utilizou o MS-Access como banco de dados. Para os cálculos estatísticos, implementou-se uma interface de comunicação aplicação/MATLAB. A revisão da literatura objetivou a familiarização com conceitos básicos de risco operacional descritos pelo Comitê da Basiléia. Adicionalmente, apresentou detalhes técnicos para implementação do LDA, tais como Distribuição de Freqüência e de Severidade, métodos para determinação da distribuição de perdas operacionais e construção da base de dados de perdas. Independente das particularidades institucionais, esse protótipo permite a visualização das providências estratégicas e operacionais a serem tomadas para implementação e implantação de um sistema similar. Marca um ponto de partida para o desenvolvimento de um produto abrangente de gerenciamento de risco operacional nas mais variadas instituições e segmentos de mercado. / [en] The risk management in financial institutions, more than just an imposition of the regulatory agencies, represents a success factor in the processes enhancement, elevating the financial results. After Basel Accord, credit and market risks management, which acts over earnings, were implemented. However, some risks are associated to the expenses, such as the operational risk, related to the losses from internal control, systems, human and external events problems. The aim of the present study was the elaboration of an extensive literature review and the development of a computation system prototype able to measure the operational risk VaR of a risk unit, using the Loss Distribution Approach (LDA) and to apply causal models that explain these losses. This prototype is an Internet/intranet application developed in ASP language, using MS-Access as database. For statistical evaluation, an interface between the application and MATLAB was implemented. The literature review pretended to give a better understanding of the basic concepts of operational risk described by the Basel Committee. In addition, it presented technical details for LDA implementation, such as Frequency and Severity Distribution, methods for the distribution of the operational losses determination and losses database construction. Independent of institutional peculiarities, this prototype allows the observation of strategic and operational providences to be taken for implementation and implantation of a similar system. It determines a startingpoint in the development of an operational risk management product valuable in several institutions and market segments.

This thesis explores a machine learning task where the data contains not only numerical features but also free-text features. In order to employ a supervised classifier and make predictions, the free-text features must be converted into numerical features.  In this thesis, an algorithm is developed to perform that conversion. The algorithm uses a pre-trained word embedding model which maps each word to a vector. The vectors for multiple word embeddings belonging to the same sentence are then combined to form a single sentence embedding. The sentence embeddings for the whole dataset are clustered to identify distinct groups of free-text strings. The cluster labels are output as the numerical features. The algorithm is applied on a specific case concerning operational risk control in banking. The data consists of modifications made to trades in financial instruments. Each such modification comes with a short text string which documents the modification, a trader comment. Converting these strings to numerical trader comment features is the objective of the case study. A classifier is trained and used as an evaluation tool for the trader comment features. The performance of the classifier is measured with and without the trader comment feature. Multiple models for generating the features are evaluated. All models lead to an improvement in classification rate over not using a trader comment feature. The best performance is achieved with a model where the sentence embeddings are generated using the SIF weighting scheme and then clustered using the DBSCAN algorithm. / Detta examensarbete behandlar ett maskininlärningsproblem där data innehåller fritext utöver numeriska attribut. För att kunna använda all data för övervakat lärande måste fritexten omvandlas till numeriska värden. En algoritm utvecklas i detta arbete för att utföra den omvandlingen. Algoritmen använder färdigtränade ordvektormodeller som omvandlar varje ord till en vektor. Vektorerna för flera ord i samma mening kan sedan kombineras till en meningsvektor. Meningsvektorerna i hela datamängden klustras sedan för att identifiera grupper av liknande textsträngar. Algoritmens utdata är varje datapunkts klustertillhörighet. Algoritmen appliceras på ett specifikt fall som berör operativ risk inom banksektorn. Data består av modifikationer av finansiella transaktioner. Varje sådan modifikation har en tillhörande textkommentar som beskriver modifikationen, en handlarkommentar. Att omvandla dessa kommentarer till numeriska värden är målet med fallstudien. En klassificeringsmodell tränas och används för att utvärdera de numeriska värdena från handlarkommentarerna. Klassificeringssäkerheten mäts med och utan de numeriska värdena. Olika modeller för att generera värdena från handlarkommentarerna utvärderas. Samtliga modeller leder till en förbättring i klassificering över att inte använda handlarkommentarerna. Den bästa klassificeringssäkerheten uppnås med en modell där meningsvektorerna genereras med hjälp av SIF-viktning och sedan klustras med hjälp av DBSCAN-algoritmen.

Магистерская диссертация посвящена исследованию влияния операционного риска на финансовые показатели банка и выявлению специфики различных подходов к оценке операционного риска. В качестве научной новизны выявлено наличие обратно-пропорциональной корреляции между операционным риском и рентабельностью активов банка на основе корреляционно-регрессионного анализа, что позволяет прогнозировать величину ROA при изменении риск-метрик банка. На основе методических подходов BIA и TSA определена шкала критичного значения операционного риска. / The master's thesis is devoted to the study of the impact of operational risk on the financial performance of banks and the study of various approaches to assessing operational risk. As a scientific novelty, the presence of an inversely proportional correlation between operational risk and the profitability of the bank's assets was revealed, based on correlation and regression analysis, which makes it possible to predict the value of ROA when the bank's risk metrics change, and based on the calculations of operational risk and the bank's equity adequacy ratio based on the methodological approaches of BIA and TSA, the scale of critical operational risk values.

Purpose This paper aims to investigate the attributes and information content of risk reporting in two different institutional and regulatory, namely, Canadian and German, settings during the period surrounding the financial crisis of 2008. Design/methodology/approach For a matched sample of manufacturing firms in the period 2006–2010, this study conducts a detailed content analysis of annual reports to assess and compare the volume and patterns of risk disclosures. Panel regressions are used to explore how risk disclosures related to corporate risk proxies and performance indicators. Findings Over the sample period, Canadian and German firms increase the volume but largely maintain the patterns of risk disclosures. Risk disclosures relate to corporate risk proxies but are not incrementally informative to assess firm performance. Originality/value The paper contributes to research on risk reporting by providing detailed cross-country evidence for a period particularly shaped by significant risk. The findings have implications for the regulation and usefulness of risk reporting.

This thesis investigates some problems related to the form and shape of statistical distributions with the main focus on goodness of fit and bump hunting. A bump is a distinctive characteristic of distributional shape. A search for bumps, or bump hunting, in a probability density function (PDF) has long been an important topic in statistical research. We introduce a new definition of a bump which relies on the notion of the curvature of a planar curve. We then propose a new method for bump hunting which is based on a kernel density estimator of the unknown PDF. The method gives not only the number of bumps but also the location of their centers and base points. In quantitative risk applications, the selection of distributions that properly capture upper tail behavior is essential for accurate modeling. We study tests of distributional form, or goodness-of-fit (GoF) tests, that assess simple hypotheses, i.e., when the parameters of the hypothesized distribution are completely specified. From theoretical and practical perspectives, we analyze the limiting properties of a family of weighted Cramér-von Mises GoF statistics W2 with weight function psi(t)=1/(1-t)^beta (for beta<=2) which focus on the upper tail. We demonstrate that W2 has no limiting distribution. For this reason, we provide a normalization of W2 that leads to a non-degenerate limiting distribution. Further, we study W2 for composite hypotheses, i.e., when distributional parameters must be estimated from a sample at hand. When the hypothesized distribution is heavy-tailed, we examine the finite sample properties of W2 under the Chen-Balakrishnan transformation that reduces the original GoF test (the direct test) to a test for normality (the indirect test). In particular, we compare the statistical level and power of the pairs of direct and indirect tests. We observe that decisions made by the direct and indirect tests agree well, and in many cases they become independent as sample size grows. / Thesis / Doctor of Philosophy (PhD)

為因應金融環境及經營風險日益複雜化，改進現行資本協定缺點，及鼓勵銀行加強風險管理，巴賽爾銀行監理委員會（以下簡稱巴賽爾委員會）於1999年6月發布「新巴賽爾資本協定」(The New Basel Capital Accord)第一版草案，在歷經2001年1月第二版修訂草案及三次量化影響評估後，2003年4月29日發布第三版修訂草案，預計2004年中正式定案，自2006年開始實施。 「新巴賽爾資本協定」主要修訂內容包括：1.強調「最低資本需求」、「監理審查程序」及「市場制約機能」等三大支柱；2.除原有信用風險及市場風險外，增加作業風險應計提資本；3.修訂及增訂信用風險及作業風險資本計提方法，除標準法外，允許銀行使用內部風險模型計提信用風險所需資本，並對信用風險抵減及資產證券化作進一步規範。本次修訂幅度頗大，預期對我國銀行業及金融監理機關均將產生重大影響。 美國實施新資本協定預計採雙軌制，亦即國際性大型銀行採用信用風險IRB法及作業風險AMA法，其他銀行則沿用現行資本計提方法，惟其強調原有之槓桿比率及立即導正措施(PCA)仍將繼續適用，將進行量化影響評估以分析公平競爭議題，並已陸續發布企業授信內部評等系統及作業風險進階衡量法之監理準則。英國則採不強迫、不禁止原則，由銀行自行衡酌成本效益，決定是否採用進階方法，並將進一步研擬相關規範。我國係由財政部金融局及銀行公會組成共同研究小組，其下分六組：信用風險標準法組、信用風險IRB法組、作業風險組、市場紀律及資產證券化組、監理審查組、市場風險組，分四階段研究與現行規範之差異、可能衝擊、我國可採行內容及研擬法規修訂。依據中央銀行金檢處92年12月對49家本國銀行進行調查，6家銀行計畫採用內部評等基礎法計提信用風險所需資本，43家銀行則採標準法或簡化標準法；作業風險則19家將採標準法，30家採基本指標法。 為協助我國順利推動新資本協定，研擬實施建議如下： 一、 成立監理機關專責小組，統籌實施事宜及彙整各界建議形成決策 二、 評估確定實施範圍及時程 三、 實施第一支柱 (一) 進行量化影響評估 (二) 儘早研擬監理機關裁量項目 (三) 瞭解銀行風險管理實務及準備狀況 (四) 鼓勵銀行檢視資料庫，增進風險管理資訊系統 (五) 建置全國性信用資料庫，建立我國信用風險指標 (六) 研擬我國適用之新資本協定草案及監理審查原則 (七) 加強監理機關間資訊共享 四、 實施第二支柱 (一) 要求銀行加強資本適足性自我評估 (二) 訂定銀行資本適足性審查標準及建立溝通機制 (三) 提高銀行資本適足性目標比率，建立資本緩衝 (四) 採行及早干預及立即導正措施 五、 實施第三支柱 (一) 評估我國揭露現況及銀行產生新資本協定揭露資訊之可行性 (二) 採兩層次揭露，並定期評估銀行揭露情形 六、 檢視我國資本適足性有關法規及計算方法說明 七、 其他監理議題 (一) 成立風險模型評估小組，加強監理人員專業能力訓練 (二) 金融監理架構改以風險為導向