Influence of macroeconomic factors on the operational risk profile of Central European retail banks

Abstract

In the Basel II framework operational risk was introduced as a separate risk category for the first time. Banks were required to develop models and methods for quantifying, measuring and managing operational risk. In the first chapters of this thesis a definition of operational risk is given and relevant aspects of the Basel II framework are described. An example of a statistical model for quantifying the capital charge for operational risk is given. The aim of the thesis is to conduct a comparative study and to analyse the influence of several economic, regulatory and legal factors on the severity of operational losses. The original study was based on a dataset from one of the biggest data consortia for operational risk. In this thesis data from a single bank was analysed. The regression model and the methods for model validation had to be adapted for this reason.