Korean Management Science Review (경영과학)

The Korean Operations Research and Management Science Society (한국경영과학회)
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Operational Risk Measurement of Financial Institutions via AHP

AHP 분석을 이용한 금융기관 운영리스크 측정

  • 최승일 (공주대학교 산업시스템공학과)
  • Received : 2010.12.09
  • Accepted : 2011.11.03
  • Published : 2011.11.30
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Abstract

Basel II advanced measurement approaches for operational risk need to estimate the frequency and severity distribution of operational losses. Due to lack of internal loss data, the estimation is impossible in many cases and so external loss data might be used by scaling on asset or gross income. To get around lack of loss data, scenario analysis combined with loss distribution approach can be useful in calculating the capital charge of operational risk. However, scenario based loss distribution approach requires much time and effort. Instead we may apply the analytic hierarchy process to measure operational risk of financial institutions. The analytic hierarchy process combined with loss distribution approach is to estimate the capital charge of operational risk in other areas based on the operational VaR in an area with sufficient loss data. AHP provides a tool for timely measurement of operational risk in this rapidly changing global environment.

Keywords

References

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