Page 6 - Azerbaijan State University of Economics

THE JOURNAL OF ECONOMIC SCIENCES: THEORY AND PRACTICE, V.81, # 2, 2024, pp. 4-29

The importance of the study: The importance of this study stems from the vitality and
novelty of its topic related to estimating the value exposed to operational risks, and its
importance lies in the fact that the latter provides a cumulative measure of risk, as it
gives one number that expresses the maximum loss that can be tolerated, this number
can be translated into the solvency of the bank, which may lead to increased
transparency and harmony in dealing with this type of risk.

The study approach: In line with the nature of the research, in order to study and
address the problem at hand and prove the validity or error of the hypotheses, two
basic approaches were adopted: the descriptive approach to build the theoretical
background of the subject, by highlighting the various concepts related to operational
risks and the stages of estimating the value exposed to operational risks, and the case
study approach by trying to project the theoretical aspect on the field of study by
estimating the value exposed to operational risks at the External Bank of Algeria.

LITERATURE REVIEW
• A study, Ja'nel Esterhuysen, Paul Styger, Gary van Vuuren (2008), entitled:
"Calculating operational value-at-risk (OpVaR) in a retail bank", an article in Sajems:
This study aims to clarify how to calculate the value at operational risk and how this
can be used to calculate the minimum organizational capital for operational risk under
the AMA approach of the Basel Committee. A distinction has also been made between
economic and organizational capital, as well as clarifying how OpVaR models can be
used to calculate both types of capital. This study has also been illustrated by the
example of differences in organizational capital when using the AMA and the SA
standard approach, as it concluded that economic capital converges with organizational
capital using the AMA standard approach, unlike the SA standard approach.

• The study of Haid Marwan, Melwah Mariam, (2019) entitled: "Operational Risks in
Insurance Companies: Their Databases and Quantitative Measurement Models
According to Solvency Requirements 2", published in the Journal of Economics and
Development: This study aimed to know the characteristics of operational risk
databases in insurance companies and study the most important quantitative models
used to calculate them based on Basel II requirements, by addressing the most
important concepts related to operational risks at the level of insurance companies,
and how to estimate their operational risks using the value-at-risk model, starting with
analyzing the data collection process and determining both intensity and frequency
distributions, leading to determining the amount of value at-risk OpVaR based on the
distribution of the total losses obtained.

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