Modeling the operational risk in Iranian commercial banks: case study of a private bank

Journal of Industrial Engineering International

دوره 8، شماره 1، فروردین 2012   

نویسندگان

Omid Momen^{* 1، 2}؛ Alimohammad Kimiagari³؛ Eaman Noorbakhsh¹

¹Karafarin Bank, Tehran, Iran

²Amirkabir University of Technology, Tehran, Iran

³2Amirkabir University of Technology, Tehran, Iran

چکیده

The Basel Committee on Banking Supervision from the Bank for International Settlement classifies banking risks into
three main categories including credit risk, market risk, and operational risk. The focus of this study is on the
operational risk measurement in Iranian banks. Therefore, issues arising when trying to implement operational risk
models in Iran are discussed, and then, some solutions are recommended. Moreover, all steps of operational risk
measurement based on Loss Distribution Approach with Iran's specific modifications are presented. We employed
the approach of this study to model the operational risk of an Iranian private bank. The results are quite reasonable,
comparing the scale of bank and other risk categories.

کلیدواژه‌ها

Operational risk؛ Copula؛ Loss distribution approach؛ Bank