O Risco Operacional nas instituições financeiras foi normatizado com a Resolução nº 3.380 em 29 de junho de 2006, emitida pelo Conselho Monetário Nacional. Desde então, entidades autorizadas a funcionar pelo Banco Central do Brasil tiveram de adequar suas estruturas e procedimentos com o intuito de aumentar os controles sobre eventos internos e externos à instituição, com a finalidade de reduzir perdas financeiras a partir da mitigação deste tipo de risco. Dessa forma, a presente dissertação tem como objetivo apresentar como um banco comercial precisa agir para adequar seus processos às novas exigências legais diante de um assunto com uma importância tão significativa. Este trabalho, além de apresentar os procedimentos de gestão de riscos em uma entidade, procura também elucidar como o risco operacional, no departamento de Call Center da instituição financeira escolhida, pode afetá-la, no caso da inobservância dos procedimentos a serem adotados com vistas à mitigação das falhas já identificadas e de possíveis ocorrências que possam comprometer a continuidade da organização. Os resultados obtidos na pesquisa mostram que o banco em estudo, em relação a outras instituições financeiras pesquisadas, ainda apresenta-se em uma etapa de desenvolvimento da sua área de gestão de riscos, trabalhando em conformidade com a legislação vigente e buscando aperfeiçoar suas técnicas de identificação e mensuração dos riscos operacionais. / Operational risk in financial institutions was normalized with Resolution No. 3380 on June 29, 2006, issued by the National Monetary Council. Since then, entities authorized to operate by the Central Bank of Brazil had to adapt its structures and procedures in order to tighten controls on internal and external events to the institution, in order to reduce financial losses from this type of risk mitigation. Thus, this paper aims to present as a commercial bank must act to adjust its processes to the new legal requirements before a subject with a very significant importance. This paper, besides presenting the procedures for managing risks in an entity, also seeks to clarify how operational risk, the department's Call Center financial institution chosen may affect it, in the case of a failure of procedures to be adopted in order mitigating the flaws already identified and possible events that could endanger the continuity of the organization. The results obtained from the survey show that the bank under study in relation to other financial institutions surveyed, still comes in a stage of development of their area of risk management, working in accordance with current legislation and seeking to improve their techniques identification and measurement of operational risks.

O desenvolvimento econômico de um país tem, entre seus pilares, o consumo das famílias como fomento à atividade econômica. Desse modo, a atividade de intermediação financeira, típica da atividade bancária, executa o papel de aproximar o crédito do consumo, portanto contribuindo para o crescimento da economia. Com o tempo, as atividades financeiras tornaram-se complexas e riscos se originam associados a este cenário, entre os quais, o risco operacional. O risco operacional, por definição, resulta da perda em processos internos organizacionais, de falhas de pessoas, de sistemas inadequados ou de fraudes. Assim, para regular o ambiente de riscos e manter a saúde financeira das instituições financeiras, o Acordo de Basileia II, editado em 2004, trouxe parâmetros que definem premissas e modelos para o gerenciamento dos riscos e, em particular, do risco operacional. O Brasil, por sua vez, aderiu ao Basileia II e estabeleceu o primeiro semestre de 2013 para que as exigências de capital, para cobertura de riscos operacionais, passassem a vigorar. Nessa linha, este estudo apresenta uma pesquisa exploratória, aplicada a um caso múltiplo nas Financeiras do Rio Grande do Sul, com a utilização de técnicas estatísticas (descritiva, séries temporais e cálculos de probabilidades), combinadas com equações dos modelos de Basileia, onde identificam-se as estruturas de gerenciamentos de riscos operacionais, as perdas de natureza operacional e os Modelos de Basileia utilizados pelas Financeiras do RS; bem como, os respectivos resultados da combinação das perdas operacionais com os volumes alocados de capital. Por fim, conclui que os Modelos de Basileia utilizados, pelas Financeiras pesquisadas, estão em desacordo com as realidades de perdas operacionais experimentadas, portanto, sugerindo recomendações e melhorias em trabalhos futuros. / The economic development of a country has, among its pillars, household consumption as encouraging economic activity. Thus, the financial intermediation activity, typical of banking, performs the role of bringing the credit consumption, thus contributing to the economy growth. Over time, financial activities have become complex and associated risks arise from this scenario, including the operational risk. Operational risk , by definition, results in loss of internal organizational processes, failure of people, inadequate systems or frauds. Thus, to regulate risk environment and maintain the financial health of the financial institutions, the Basel II Accord, published in 2004, brought parameters that define assumptions and models for risk management and, in particular, the operational risk . Brazil joined the Basel II and established the first half of 2013 for the capital requirements to cover operational risk. So, this study presents an exploratory research applied to multiple case, on the Financeiras of the Rio Grande do Sul, with the use of statistical techniques (descriptive, time series and probability calculations) combined with Basel models equations, that identified: the structures of operational risk management, the loss operational and the Basel models used by Financeiras RS, as well as the results of the combination of operating losses with volumes allocated capital. Finally, it concludes that the Basel models used by the financial surveyed, are at odds with the realities of experienced operating losses, thus suggesting improvements and recommendations for future work.

In this thesis we will deal with the term of operational risk, as it is presented in the directives Basel 2 that are mandatory for financial institutions in the European Union. The main problem is operational risk modeling, therefore, how to measure and manage it. In the first part we will look at the possibility of calculating the capital requirements for operational risk under Basel 2, mainly the calculation with the internal model. We will describe the specific procedures for the development of the internal model and we will focus on Loss Distribution Approach. The internal model will be based on modeling of loss in each risk cell separately. In the second part we will show, how to include modeling of dependence structure between risk cells to the internal model with using copulas. Finally, we will show the illustrative example, where we will see, whether the modeling of dependence leads to a reduction of the total capital requirement. Powered by TCPDF (www.tcpdf.org)

This thesis concerns measurement and management of operational risk within banks. First the Basel II concept is described. Following part focuses on definition of operational risk, description of its subparts, methods of how to measure it and phases of the management process. Methods of how to control and mitigate the operational risk are also defined in this section. Last part focuses on analysis of principles and standards which every bank should follow to effectively identify, assess, monitor and control/mitigate the operational risk. A questionaire which can be used to identify the level of operational risk within a bank is proposed in this section.

The Basel II Framework ensures banks are well capitalized. It is designed to be more risk sensitive than the old Basel Capital Accord and considers operational risk, such as "the risk of loss resulting from inadequate or failed internal procesess, people and systems or from external events." Banks are forced to calculate the regulatory capital charge for operational risk and want to optimize it. IT is a substantial part of operational risk and therefore is a part of the regulatory capital charge for operational risk. The Basel Committee requires banks to implement a framework to manage operational risk. One objective of this study is to provide description of this framework, IT aspects of operational risk and IT governance under Basel II, based on available sources of information. Another objective is to design processes for assessing and managing IT and operational risks under Basel II. Last but not least objective of this study is to disclose recent credit risk data and indicators for consolidated sector and large banks in the Czech republic. The amount of the regulatory capital charge for operational risk is an important part of the overall capital charge. This work increases IT practitioner's understanding of such topics as assessing and managing operational risk under Basel II.

Den ökade digitaliseringen och framfarten av innovativa lösningar har tagit allt större plats i dagens samhälle. Dagens infrastruktur bygger på ett centraliserat system som är format för en värld innan globaliseringen. Detta innebär att makten är centraliserat till ett fåtal aktörer som politiker, myndigheter och institutioner. Denna konstruktion är ineffektiv och kostsam samtidigt som det centraliserade systemet är sårbart mot cyberattacker och bedrägerier. Genom att anamma digitaliseringen öppnas nya möjligheter upp för att hantera de globala samhällsutmaningarna. Digitaliseringen har lett till framväxten av innovativa tjänster där såväl etablerade företag som nya teknikföretag utforskar sätt att effektivisera, standardisera och säkra upp processer. Blockkedjan är en teknik som har potential att rubba ett flertal industrier genom att göra processer mer effektiva, transparent, demokratiska och säkra. Blockkedjeteknologin har en mängd olika appliceringsområden, men i korthet kan den beskrivas som en teknik som registrerar och lagrar information på ett distribuerat nätverk. Teknologins huvudsakliga syfte är att undanröja tillförlitliga tredje parter genom att säkert distribuera information till nätverkets användare. På så sätt bidrar teknologin till en ökad transparens, minskad asymmetrisk information och därmed ökad säkerhet. Detta öppnar upp frågan: Vilken effekt kommer blockkedjan att ha på företags risk? Syftet med denna studie är att undersöka vilken effekt en implementering av blockkedjan har på ett företags risk inom revisions-, finans- och fastighetsbranschen. I denna studie har tre centrala risker valts ut baserat på teknologins användningsområden: operativ-, kredit- och marknadsrisk. Studiens frågeställning besvaras genom en kvalitativ undersökning där ett brett spektra av respondenter i intervjuer har bidragit med kunskap och erfarenhet. Resultatet från studien påvisar många intressanta aspekter om hur risken kan komma att påverkas från användandet av teknologin. Samtidigt som vi ser stor potential för blockkedjan att reducera ett flertal oönskade risker, finns det en hel del hinder som tekniken ställs inför. Med få befintliga tillämpningar av teknologin är det svårt att förutse exakta konsekvenser, det mesta blir således hypotetiskt. Sammantaget ser vi blockkedjan som en revolutionerande innovation med potential att förändra marknaden. Huruvida teknologins framfart kommer att arta sig är dock beroende av en anpassning i lagstiftningar och regelverk. Utmaningen för beslutsfattarna är således att väga den ökade samhällsnyttan mot de risker som tekniken kan medföra. I detta resonemang ser vi att denna studie kan bidra till en ökad kunskap om blockkedjans riskrelaterade styrkor och hot.

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

The Basel II accord requires banks to put aside a capital buffer against unexpected operational losses, resulting from inadequate or failed internal processes, people and systems or from external events. Under the sophisticated Advanced Measurement Approach banks are given the opportunity to develop their own model to estimate operational risk.This report focus on a loss distribution approach based on a set of real data. First a comprehensive data analysis was made which suggested that the observations belonged to a heavy tailed distribution. An evaluation of commonly used distributions was performed. The evaluation resulted in the choice of a compound Poisson distribution to model frequency and a piecewise defined distribution with an empirical body and a generalized Pareto tail to model severity. The frequency distribution and the severity distribution define the loss distribution from which Monte Carlo simulations were made in order to estimate the 99.9% quantile, also known as the the regulatory capital. Conclusions made on the journey were that including all operational risks in a model is hard, but possible, and that extreme observations have a huge impact on the outcome.