A new internal data measure for operational risk: a case study of a South African bank
Date
2015-03-12
Authors
Hoohlo, Mphekeleli
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Abstract
This study examines the e ect of automation on operational risk (OpRisk) measurement in a
South African bank. It uses historical process risk loss data from the rst quarter (2013Q1)
derived from the automated trade amendment tracker (ATAT) database { a computerised
tool designed to automate the collection of internally generated OpRisk events at the bank
in question. The results indicate that a Value{at{Risk (VaR) estimate for OpRisk largely
depends on the accuracy of the loss data. Capital adequacy is determined using this
estimate of VaR, suggesting that the ATAT device used in operational risk measurement
improves on investment services activity in South Africa. Finally, it appears that risk
management practices in the South African banking industry are more concerned about
traditional operational risk management (ORM) rather than the determination of OpRisk
VaR as it becomes a matter of great concern for nancial institutions (FI's) across the globe.
Description
Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2014.