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Riesgo operacional en los sistemas de pagos -Metodología VaR-

Author

Listed:
  • Ana Cecilia Rodríguez

    (Banco Hipotecario del Uruguay)

  • Ana Karina Rodríguez

    (Banco Hipotecario del Uruguay)

  • Verónica Liñares

    (Banco Central del Uruguay)

Abstract

Operational risk of an entity is difficult to measure. If it is asociated to a payment system, even more. However, the estimation is useful as a support tool for decision making in the supervision of payment systems. In this article we develop a methodology for estimating operational risk in payment systems, identifying potential events and consequent costs. We analyze VaR concept, applying it in a simplified example about two uruguaian cases. As a result,various tools are proposed for overseers and regulators. This is relevant, as it addresses a topic of early development

Suggested Citation

  • Ana Cecilia Rodríguez & Ana Karina Rodríguez & Verónica Liñares, 2013. "Riesgo operacional en los sistemas de pagos -Metodología VaR-," Documentos de trabajo 2013004, Banco Central del Uruguay.
    • Handle: RePEc:bku:doctra:2013004
    as

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    File URL: https://www.bcu.gub.uy/Estadisticas-e-Indicadores/Documentos%20de%20Trabajo/4.2013.pdf
    File Function: First version, 2013
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    More about this item

    Keywords

    operational operational risk; payment systems; VaR; overseers; regulators;
    All these keywords.

    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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