Calculo del valor al riesgo operacional mediante enfoque de distribución de pérdidas agregadas para un evento de pérdida registrado en base de datos de un banco en el Perú

Abstract

Since June 2004 the Committee on Banking Supervision published the New Basel Capital Accord, causing the banking industry in the world experience significant changes in its management, and Peru is no stranger to this international trend, as the Superintendency of Banking and Insurance adopted this practice through publications of regulations on the mechanisms to identify, measure, monitor and manage operational risk in order to avoid losses related to operational risk that financial companies must meet progressively, also the companies that not properly implemented such mechanism will have to maintain higher capital requirement and lose profitability, among the most complicated aspects for companies to implement this structure the database and recovery losses quantitative operational risk to which it is exposed.