The regulatory authorities emphasize in the Basel II accord the rising importance of operational risks. These risks must be covered using equity capital. Basle II offers a wide range of mathematical tools to calculate the equity capital needed for operational risks. The methods differ by complexity and their âhungerâ for data needed for calculation.
Because of the fact, that operational risks need to be covered by equity capital not before 2005, many institutes sense themselves to be on the safe side because there are many years to come for implementing effective models to calculate the needed capital. Looking closer, one realises that terms like âhigh impact, low frequencyâ emphasize the need to quickly start to collect data that is valid for calculation of operational value-at-risk. The more valid data the better. With only a few loss-values the calculation will end up in low-level statistics. Thus, no time to loose!
Acrys Consult now launches its operational VaR software library. Calculation of the operational value-at-risk is provided by a platform independent library written in C. This library contains a set of functions used to
- derive needed parameters from the input data delivered by any attached loss database or other datasource
- calculate the OR-VaR using the not-converged method
- calculate the OR-VaR using the converged method.
To calculate the VaR we use the Monte-Carlo simulation based on the
Acrys Consult provides itâs customers with sophisticated methodological and technological know-how regarding Operational Risks in general. With our cooperation partner mondre.net we jointly offer our modular suit BaseX with the following moduls:
Â· Self Assessment
Â· Loss Data Base
Our operational VaR library is an easy to implement solution, technically independent. It can use our BaseX Loss Data Base as well as an existing Loss Data Base. BaseX was developed on the base of a Operational Risk project for a major German bank.
Our operational VaR services offered are:
Â· Methodological and technological consulting
Â· Implementation of our OR VaR library