Řízení operačního rizika v bankovnictví

Abstract

Diploma thesis is divided into six chapters and is focused on the operational risk management in banking industry. In connection with this type of risk is the risk management activities considered as one of the key activities under the banking risk management at the beginning of the 21st century. The first part of Diploma thesis deals with the interpretation of commonly known banking risks, which banks are currently displayed. These include credit risk, commodity risk, equity risk, currency risk, interest rate risk, option risk, liquidity risk, the risk of possible transmission of foreign and risk of interbank-disease, reputation risk, strategic risk, legal risk and operational risk course, which is devoted a substantial part of Diploma thesis. Target of this thesis is to describe the system of operational risk management in CSOB, assessment of the current state of operational risk management under the international Basel II banking rules, particularly with regard to the individual pillars of these rules and also the Pillar I of Basel II in the implementation of a comprehensive analysis and evaluation approaches and methods for calculating the capital requirement for operational risk, which are under the quantification of operational risk CSOB analyzed and the operational risk measurement and its capital requirement for operational risk proposed. The following are additional suggestions and recommendations for effective operational risk management. This is the second part of Diploma thesis. As one of the main proposals and recommendations is given a change in the calculation of capital requirement for operational risk. Diploma thesis offers a possible direction in the transition of calculating capital requirement for operational risk, namely from the top down approach, the bottom up approach, which is recommended for CSOB of calculating the capital requirement under the loss distribution approach. For the bank is also described qualitative and quantitative requirements which CSOB must be in the implementation of advanced measurement approach satisfy itself and the procedure to calculate the capital requirement under the advanced measurement approach.