Operational Risk Evaluating and Modeling for E-Banking

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M. Pirouz
M. Salahi,M. Mahdavi, R. Ebrahimi Atani


This paper focuses on modeling operational risk which is one of the most important risks in E-banking. It can affect the
institution’s ability to deliver products or services and lead to large losses at financial institutions. In our paper, we are presenting a new approach to
compute the capital charge for an E-bank to cover the losses of operational risk, based on Loss Distribution Approach (LDA), which refers to
statistical methods for modeling the loss distribution. In this framework, we begin our model with performing the descriptive statistic analysis of
internal loss data at bank, and finish it using Value-at-Risk measure, to obtain the capital charge of an E-bank for operational risk. We have tested our
model for some operational loss data samples, and have estimated operational risk capital charge. Our results indicate that the new model can be used
at least as an initial part against the dangers of operational risk losses in E- banking.

Keywords: E-banking, operational risk, capital charge, risk management, Basel committee


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