Politická ekonomie 2012, 60(4):523-535 | DOI: 10.18267/j.polek.860

Pojištění jako nástroj řízení operačního rizika - případová studie

Milan Rippel, Lucie Suchánková, Petr Teplý
IES FSV Universita Karlova v Praze.

The Role of Insurance in Operational Risk Mitigation - A Case Study

Operational risk management has becoming more important in the financial industry in the recent years mainly due to scandals in UBS in 2011 and Societé Générale in 2007. The reasons for this attention can be attributed to introduction of operational risk into the Basel II regulatory framework and to high losses stemming from operational risk events. Despite the fact that the new Basel III proposal does not give much attention to this risk, operational risk should not be underestimated. In this paper we present a theoretical background for the use of insurance in banks' operational management according to Basel II rules. Moreover, we provide empirical analysis of the role of insurance in operational risk management in an anonymous bank located in Central Europe. We compare the results of our case study with impact studies conducted for Basel II evaluation. Based on our analysis we reject a hypothesis that insurance serves as an effective mitigation tool of operational risk in case of the researched bank.

Keywords: bank, Basel II, Basel III, fraud, operational risk, insurance
JEL classification: C15, G21, G32

Published: August 1, 2012  Show citation

ACS AIP APA ASA Harvard Chicago IEEE ISO690 MLA NLM Turabian Vancouver
Rippel, M., Suchánková, L., & Teplý, P. (2012). The Role of Insurance in Operational Risk Mitigation - A Case Study. Politická ekonomie, 60(4), 523-535. doi: 10.18267/j.polek.860
Download citation
  • BibTeX (.bib)
  • Bookends (.ris)
  • EasyBib (.ris)
  • EndNote (.enw)
  • EndNote 8 (.xml)
  • ISI WoS (.isi)
  • Medlars (.medlars)
  • Mendeley (.ris)
  • MODS (.xml)
  • Papers (.ris)
  • RefWorks (.txt)
  • RefManager (.ris)
  • RIS (.ris)
  • MS Word (.xml)
  • Zotero (.ris)
    • Open full article

    References

    1. BCBS 2006. International Convergence of Capital Measurement and Capital Standards (A Revised Framework, Comprehensive version). BIS, June 2006. ISBN: 92-9197-720-9. Dostupné na http://www.bis.org/publ/bcbs128.pdf.
    2. BCBS 2003. Loss Data Collection Exercise for Operational Risk: Summary of the Data Collected. BIS, March 2003. Dostupné na http://www.bis.org/bcbs/qis/ldce2002.pdf?noframes=1.
    3. BCBS 2002. Quantitative Impact Study 3 Technical Guidance. October 2002. Dostupné na http://www.bis.org/bcbs/qis/qis3tech.pdf.
    4. BCBS 2011. Operational Risk - Supervisory Guidelines for the Advanced Measurement Approaches. BIS, June 2011. Dostupné na http://www.bis.org/publ/bcbs184.pdf.
    5. BAZZARELO, D.; CRIELAARD, B.; PIACENZA, F.; SOPRANO, A. 2006. Modeling Insurance Mitigation on Operational Risk Capital. Journal of Operational Risk, pp. 57-65, Dostupné na http://www.journalofoperationalrisk.com/data/jop/pdf/jop_v1n1a4.pdf. Go to original source...
    6. BRANDTS, S. 2004. Operational Risk and Insurance: Quantitative and Qualitative Aspects. EFMA Basel meeting, Working Paper. Dostupné na http://papers.ssrn.com/sol3/papers.cfm?abstract_id=493082.
    7. CHERNOBAI, A. S.; RACHEV, S. T.; FABOZZI, F. J. 2007. Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis. John Wiley & Sons, Inc. ISBN 978-0471780519.
    8. ČERNOHORSKÁ, L.; RIPPEL, M.; TEPLÝ, P. 2010. Key Operational Risk Management Techniques. Scientific Papers of University of Pardubice, Series D, Vol. 16, No. 1/2010, pp. 41-49.
    9. ČERNOHORSKÝ, J.; CHALUPKA, R.; TEPLÝ, P. 2010. Operational Risk and Economic Capital Modelling. In Proceedings of 2010 International Conference on Business, Economics and Tourism Management. Singapore: World academic Press, pp. 70-74.
    10. DEWATRIPONT, M.; TIROLE J. 1994. A Theory of Debt and Equity: Diversity of Security and Manager-Shareholder Congruence. Quarterly Journal of Economics, Vol. 109, s. 1027-1054. Go to original source...
    11. DVOŘÁK, P. 2005. Bankovnictví pro bankéře a klienty. 2. vyd. Praha: Linde, 2005, ISBN 80-7201-515-X.
    12. DUTTA, K.; PERRY, J. 2007. A Tale of Tails: An Empirical Analysis of Loss Distribution Models for Estimating Operational Risk Capital. [Working Paper No. 06-13] Federal Reserve Bank of Boston, Boston January 2007. Dostupné na http://www.bos.frb.org/economic/wp/wp2006/wp0613.pdf. Go to original source...
    13. EMBRECHTS, P.; FREY, R.; MCNEIL, A. 2005. Quantitative Risk Management: Concepts, Techniques and Tools. Princeton Series in Finance, 2005. ISBN-13: 978-0691122557.
    14. INSURANCE WORKING GROUP OF THE OPERATIONAL RISK RESEARCH FORUM.2001. Insurance as a Mitigant for Operational Risk. ORRF, 2001. Dostupné na http://www.bis.org/bcbs/ca/oprirefo.pdf.
    15. INSURANCE COMPANIES. 2001. Insurance of Operational Risk under the New Basel Capital Accord. [Working paper, November 7, 2001]. Dostupné na http://www.bos.frb.org/bankinfo/conevent/oprisk/basel.pdf.
    16. MANDEL, M.; TOMŠÍK, V. 2011. Regulace bankovního sektoru z pohledu ekonomické teorie. Politická ekonomie, 2011, Vol. 59, No. 1, pp. 58-81. Go to original source...
    17. MISHKIN, F. S. 2010. The economics of money, banking & financial markets. Boston: AddisonWesley, 2010. ISBN: 978-0-321-59979-7
    18. NAGAFUJI, T. 2011. Operational Risk: Not an Orphan of Regulation. The Banker - How to Run a Bank 2011. April 2011, pp. 36-38.
    19. REVENDA, Z. et al. 2011. Peněžní ekonomie a bankovnictví. Praha: Management Press, 2012. ISBN 978-80-7261-240-6.
    20. RIPPEL, M.; TEPLÝ, P. 2011. Operational risk - Scenario Analysis. Prague Economic Papers, 2011, Vol. 20, No. 1, pp. 23-39. Go to original source...
    21. TEPLÝ, P.; VRÁBEL, M.; ČERNOHORSKÁ, L. 2012. The VT Index As an Indicator of Market Liquidity Risk in Slovakia. Journal of Economics. Vol. 60, No. 3, pp. 223-238.

    This is an open access article distributed under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY NC ND 4.0), which permits non-comercial use, distribution, and reproduction in any medium, provided the original publication is properly cited. No use, distribution or reproduction is permitted which does not comply with these terms.


    Return to the content