Estimación y comparación de los requerimientos de capital por riesgo operacional de las entidades financieras españolas con los métodos actuales frente a los nuevos métodos propuestos por el comité de supervisión bancaria de Basilea

Resum

Operational risk endangers the solvency of banks, exposing them to high-impact and low-frequency events, whose probability of occurrence has increased, mainly due to the greater complexity of the financial system. That is why operational risk is a controversial risk in supervisory forums, and it is an area of concern and a supervisory priority. Nowadays, operational risk is in the spotlight of supervisors, the methods used to calculate the capital requirements for operational risk are not working as they should. Under the BIA and TSA method, capital has remained stable or declined despite the increase and severity of operational risk events during the crisis. With respect to the advanced AMA models, they present an important degree of flexibility and inherent complexity derived from the lack of comparability of the wide range of existing modeling practices. The Basel Committee on Banking Supervision has proposed new measurement methods for the calculation of operational risk capital that can have significant implications for the banks in terms of capital requirements, management and implementation. The objective of this doctoral thesis is to estimate and compare the operational risk capital requirements with the current methods (BIA, TSA and AMA) versus the new methods proposed by the Basel Committee based from actual bank data.