Advances in Risk Management

18 DETERMINATION OF THE CAPITAL CHARGE FOR OPERATIONAL RISK

Table 1.7 Statistics from the aggregate loss distributions

Business Line 1

Collection 0.25 1 5 10 20 50
Threshold
Observed 197,707 197,362 196,162 195,469 193,577 190,613
total loss
Median 207,382 206,234 202,775 203,900 193,577 197,428
Mean (EL) 282,429 283,843 275,686 276,033 274,708 273,983
VaR_90 569,446 571,079 554,891 551,029 549,296 559,235
VaR_95 772,580 782,968 745,494 742,276 744,448 758,515
VaR_99 1,129,687 1,156,350 1,113,569 1,123,954 1,128,338 1,149,638
VaR_999 (UL) 1,596,046 1,664,351 1,540,889 1,709,335 1,624,079 1,589,754
VaR_9995 1,990,333 1,841,773 1,742,146 1,791,703 1,801,347 1,763,800
Capital 1,313,617 1,380,508 1,265,203 1,433,302 1,349,371 1,315,771
Charge
(UL-EL)

UL/Observed 8.07 8.43 7.86 8.74 8.39 8.34
Loss

Business Line 2

Collection 0.25 1 5 10 20 50
Threshold
Observed 162,034 159,946 154,747 151,670 147,554 140,389
total loss
Median 159,668 163,497 174,317 153,049 151,411 144,668
Mean (EL) 179,893 182,426 155,161 172,279 172,345 164,182
VaR_90 242,829 243,356 235,854 233,870 234,269 226,114
VaR_95 305,361 292,105 285,729 284,993 297,339 282,444
VaR_99 520,023 513,738 505,102 526,324 548,432 526,876
VaR_999 (UL) 990,471 997,423 1,007,766 1,012,012 1,010,079 952,224
VaR_9995 1,017,129 1,108,098 1,070,175 1,077,630 1,100,504 1,017,359
Capital 810,578 814,997 852,605 839,733 837,734 788,042
Charge
(UL-EL)
UL/Observed 6.11 6.24 6.51 6.67 6.85 6.78
total loss