The article shows relevant difficulties and challenges that bank may comes across while collecting loss data and modeling operational risk. The author describes briefly the range of operational risk and later focuses on issues linked with data collection - precisely defining operational risk loss, multiply time/effect losses, operational risk losses related to credit and market risk. She details the matter of expected und unexpected losses. Afterwards she takes up the subjects of operational risk classes, calculating capital requirement within each of them and the final amount of capital requirement. At the end she broaches the matter of model performance techniques

Keywords: operational risk data, expected and unexpected losses, operational risk modeling.

  Grażyna Bancarewicz, AMA - Selected Issues in the Areas of Operational Risk Data and Operational Risk Modeling - plik pdf; (317 KB)