ABSTRACT
This study aims to shed light on the application of the value-at-risk (VaR) method to estimate operational risks at the level of the External Bank of Algeria (EBA), by taking a comprehensive view of operational risks and studying how to assess them using value at risk, and then trying to apply the latter at the level of the External Bank of Algeria to two events using two different approaches (Monte Carlo and the scheduling process). This was based on the case study approach with the use of the interview as a tool for data collection, and the use of Excel to analyze it. Through this study, it became clear that it is possible to determine the maximum loss that the Algerian External Bank could be exposed to - due to operational risks - for the coming year at different levels of confidence, as well as to determine the capital requirements necessary to cover it, taking into account several requirements to ensure its proper application, foremost of which is the provision of a comprehensive and accurate database, sophisticated and specialized programs and qualified human cadres, all this to create greater flexibility in dealing with volatile risks in the modern business environment.

Keywords: operational risk, value at risk, risk assessment, capital requirements.

JEL Classification: G32, C69, G59