Abstract:

Operational risk can be generated by a multitude of factors and the potential financial losses that can be generated are significant. The appearance, in a short time, of numerous prudential regulations for an adequate operational risk management led to the inclusion of this risk in the top of the most important risks in the banking activity. This paper presents the components of operational risk, the stages in the risk management process and the causes of operational risk. Prudential regulations in the field of operational risk and methods for calculating the minimum capital requirement for operational risk are presented and highlighted within a case study on a Romanian bank. Crisis simulations are presented as an integrated part of operational risk management. An analysis was performed of the evolution of the minimum capital requirement for operational risk calculated in the Romanian banking system in the period 2008-2018, in parallel with the evolution of the minimum capital requirement for operational risk calculated in the European banking sector. This analyze conclude that in 2018 the basic indicator approach is used mainly for the calculation of the minimum capital requirement for operational risk, but during the analyzed period, the constant increase of the share of standardized approach use, as well as of the share of use of advanced measurement approach was observed.