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Figure 2: Definition of thresholds for a Level 2 metric based on operational losses

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Starting from peers’ tolerance levels for operational losses connected to compliance risks (both as absolute values and as a percentage of gross operating income), the bank in this example then carried out a detailed historical analysis of its own internal losses. As result, thresholds were defined as follows:

 Target: set to be below median of distribution.

 Caution: set to be above mean and exceeded only once in the past five years.

 Limit: set to be above mean and exceeded only once in the past ten years.

The bank in this example allowed for thresholds to be changed by +/- 10% based on managerial judgement.

Non-financial Risk Management in the Financial Industry

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