ANALISA PENGUKURAN BEBAN MODAL RISIKO OPERASIONAL METODE BASIC INDICATOR APPROACH (BIA) DAN ADVANCE MEASUREMENT APPROACH (AMA) DI BANK EFG

Abstract

This study aims to compare the magnitude of operational risk losses between the Basic Indicator Approach (BIA) method, and the loss distribution model in the Advanced Measurement Approach (AMA) approach so as to provide a more realistic picture for banks to determine the operational risk capital burden that must be provided based on the causes Operational risks are as follows Internal Process, Human and External Events. Measurement of operational risk capital burden by the AMA method is the determination of frequency of loss distribution, determination of severity of loss distribution, testing with goodness of fit test, then compilation of aggregated loss distribution, calculation of Operational Value at Risk (OpVar), testing the model with back testing and comparison of capital adequacy from the results of the calculation of the Basic Indicator Approach (BIA) and the Advance Measurement Approach (AMA). The results of research based on the BIA require an operational risk capital cost of Rp.291,652,000,000. The results of the research on the AMA approach use the frequency of loss distribution parameter for the internal causes of the process with a Geometric distribution of 0.17561, while for the human cause of 0.08511, for the cause of external events amounting to 0.83721. Determination of Frequency of Loss Distribution using Goodness of Fit for internal processes, people and external events. The results of the Operational Value at Risk (OpVar) with a geometric distribution pattern, then the maximum loss that can arise due to human factors is Rp.24,114,480,096, -, for internal process factors of Rp.6,010,929,367, whereas for external causes for Rp. 2,161,092,909. In total operational risk capital needs through the AMA method of Rp. 32,286,502,372.