prikaz prve stranice dokumenta Operativni rizici u bankarskom poslovanju
  Download
PDF 23.91 MB
master's thesis
Operativni rizici u bankarskom poslovanju
2020. urn:nbn:hr:126:799056
Martinić, Keti
Josip Juraj Strossmayer University of Osijek
Department of Mathematics
Chair of Pure Mathematics
Probability and Mathematical Statistics Research Group

Cite this document

Martinić, K. (2020). Operativni rizici u bankarskom poslovanju (Master's thesis). Retrieved from https://urn.nsk.hr/urn:nbn:hr:126:799056

Martinić, Keti. "Operativni rizici u bankarskom poslovanju." Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, 2020. https://urn.nsk.hr/urn:nbn:hr:126:799056

Martinić, Keti. "Operativni rizici u bankarskom poslovanju." Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, 2020. https://urn.nsk.hr/urn:nbn:hr:126:799056

Martinić, K. (2020). 'Operativni rizici u bankarskom poslovanju', Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, accessed 25 January 2021, https://urn.nsk.hr/urn:nbn:hr:126:799056

Martinić K. Operativni rizici u bankarskom poslovanju [Master's thesis]. Osijek: Josip Juraj Strossmayer University of Osijek, Department of Mathematics; 2020 [cited 2021 January 25] Available at: https://urn.nsk.hr/urn:nbn:hr:126:799056

K. Martinić, "Operativni rizici u bankarskom poslovanju", Master's thesis, Josip Juraj Strossmayer University of Osijek, Department of Mathematics, Osijek, 2020. Available at: https://urn.nsk.hr/urn:nbn:hr:126:799056

Islandora Bookmark - Please login to use this feature
Metadata
TitleOperativni rizici u bankarskom poslovanju
Title (english)Operational Risk in Banking Business
AuthorKeti Martinić
MentorDanijel Grahovac (mentor)
Committee memberNenad Šuvak (predsjednik povjerenstva)
Committee memberDanijel Grahovac (član povjerenstva)
Committee memberDragana Jankov Maširević (član povjerenstva)
GranterJosip Juraj Strossmayer University of Osijek
Department of Mathematics
(Chair of Pure Mathematics)
(Probability and Mathematical Statistics Research Group)
Osijek
Defense date and country2020-07-17, Croatia
Scientific / art field,
discipline and subdiscipline		NATURAL SCIENCES
Mathematics
Applied Mathematics and Mathematical Modeling
Abstract
U ovom radu bavili smo se operativnim rizicima koji su prisutni u svakoj financijskoj instituciji. Na početku rada smo definirali operativne rizike te se upoznali s Baselskim sporazumima koji sadrže smjernice za računanje kapitalnih zahtjeva potrebnih za podmirivanje operativnih rizika. Opisali smo tri načina za računanje kapitalnih zahtjeva pri čemu smo najviše pažnje posvetili AMA jer je to najnapredniji i najsloženiji pristup. AMA sadrži tri podvrste pristupa od kojih smo detaljno obradili pristup distribucije podataka. S obzirom da su najznačaniji gubici koji se rijetko dogode ali imaju velik utjecaj na ekonomiju, uvodimo teoriju ekstremnih vrijednosti kojom se takvi gubici mogu modelirati. U zadnjem teorijskom dijelu smo opisali kako pomoću Monte Carlo metode izračunati VaR. Za kraj smo navedenu teoriju primjenili na podatke iz R paketa opVaR.
Abstract (english)
In this thesis we study operational risks which are present in every financial institution. At the beginning we defined operational risk and introduced the Basel Capital Accord which contains the guidelines for capital requirements for operational risks. We described three approaches for operational risk with a focus on advanced measurement approach (AMA) which is the most complex and the most advanced method. Under AMA three approaches were proposed. One of those approaches is loss distribution approach, which we described in detail. Since the most significant losses are those with low frequency but the highest severity, we introduced extreme value theory which provides models for such losses. In the last theoretical part we described how to calculate VaR using Monte Carlo method. Finally, we applied this theory to the data from the R package opVaR.
Keywords
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:126:799056
Study programmeTitle: Mathematics; specializations in: Financial and Statistical Mathematics, Mathematics and Computer Science, Industrial and Applied Mathematics
Course: Financial and Statistical Mathematics
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
Type of resourceText
File originBorn digital
Access conditionsOpen access
Terms of useLicence In copyright icon
Created on2020-08-24 07:38:44