SciELO - Scientific Electronic Library Online

vol.11 número1The experience of work-life interaction in the Northern Cape mining industry: An exploratory study índice de autoresíndice de materiabúsqueda de artículos
Home Pagelista alfabética de revistas  

Servicios Personalizados



Links relacionados

  • En proceso de indezaciónCitado por Google
  • En proceso de indezaciónSimilares en Google


South African Journal of Economic and Management Sciences

versión On-line ISSN 2222-3436
versión impresa ISSN 1015-8812

S. Afr. j. econ. manag. sci. vol.11 no.1 Pretoria abr. 2008




Calculating operational value-at-risk (OpVaR) in a retail bank



Ja'nel EsterhuysenI; Paul StygerII; Gary van VuurenIII

IInvestec Bank Ltd and School of Economics, North West University
IISchool of Economics, North-West University
IIIFinancial Institutions, Fitch Ratings and School of Economics, North West University




The management of operational value-at-risk (OpVaR) in financial institutions is presented by means of a novel, robust calculation technique and the influence of this value on the capital held by a bank for operational risk. A clear distinction between economic and regulatory capital is made, as well as the way OpVaR models may be used to calculate both types of capital. Under the Advanced Measurement Approach (AMA), banks may employ OpVaR models to calculate regulatory capital; this article therefore illustrates the differences in regulatory capital when using the AMA and the Standardised Approach (SA), by means of an example. Economic capital is found to converge with regulatory capital using the AMA, but not if the SA is used.

JEL: G21, C15, 16



“Full text available only in PDF format”




1 ALEXANDER, C. (2003) "Statistical models of operational loss". In Operational Risk: Regulation, Analysis and Management (pp. 102-189). FT Prentice Hall: New York.         [ Links ]

2 BANK FOR INTERNATIONAL SETTLEMENTS (BIS), Basel Committee on Banking Supervision. (2005) International Convergence of Capital Measurement and Capital Standards: A Revised Framework. November 2005. BIS, Basel, Switzerland.         [ Links ]

3 BELMONT, B. (2004) Value Added Risk Management in Financial Institutions, (1st ed.) John Wiley & Sons Ltd: Chichester, UK.         [ Links ]

4 CHAPELLE, CRAMA, A., HUBNER, Y., & PETERS, J. P. (2005) "Measuring and managing operational risk in the financial sector - an integrated framework", Working Paper, HEC Management School, University of Liege, November 2003.         [ Links ]

5 CHERNOBAI, A., MENN, C., TRUCK, S. & RACHEV, S. T (2004) "A note on the estimation of the frequency and severity distributions of operational losses", Journal of Applied Probability Trust, University of California, Santa Barbara, USA, December: 13-27.         [ Links ]

6 CRUZ, M.G. (2002) Modelling, Measuring and Hedging Operational Risk, John Wiley & Sons Ltd: West Sussex, UK.         [ Links ]

7 DEV, A. (2006) "Operational risk: Some issues in Basel II AMA implementation in US financial institutions", RISK, Washington, USA, April.         [ Links ]

8 ESTERHUYSEN, J.T (2003) "The management of operational risk in South African banks" (Thesis: MComm), Potchefstroom, South Africa: PU for CHE.         [ Links ]

9 ESTERHUYSEN, J.T (2006) "Managing operational value-at-risk (OPVaR) in a Banking Environment" (Thesis: DComm), North-West University, Potchefstroom, South Africa.         [ Links ]

10 HARMANTZIS, F. (2003) "Turbulent times focus attention on operational risk management in financial services": [Online] Available at: Links ]" target="_blank"> [Date of access:4 April 2005].

11 HOFFMAN, D.G. (2002) Managing Operational Risk: 20 Firm Wide Best Practice Strategies, John Wiley & Sons Ltd: Chicago, USA.         [ Links ]

12 MUELLER, H. (2005) "Economic capital -Recent Market Developments and Current Trends, paper prepared for the Society of Actuaries' Risk Management Section Council, UK, October.         [ Links ]

13 OLSSON, C. (2002) Risk Management in Emerging Markets: How to Survive and Prosper, Prentice Hall, New York, USA.         [ Links ]

14 PETERS, J.P., GRAMA, Y. & HUBNER, G. (2003) "Basel II Project: computation of OpVaR", working paper, HEC Management School, University of Liège, Belgium.         [ Links ]

Creative Commons License Todo el contenido de esta revista, excepto dónde está identificado, está bajo una Licencia Creative Commons