Analisis Risiko Operasional Bank XXX dengan Metode Teori Nilai Ekstrim

Abstract

Bank in its operations are always exposed to risks that are closely related, because of its position as a
financial intermediary institutions. One of the risks which arise when this is operational risk.
Operational risk to be one additional factor that must be measured and taken into account in the
minimum capital adequacy, in addition to credit and market risk. There are three approaches for
setting capital charges for operational risk, are Basic Indicator Approach, Standardized Approach and
Advanced Measurement Approach. This research used the Advanced Measurement Approach in
particular the use of Extreme Value Theory (EVT) to measure the bank XXX operational risk, this is
because the distribution of operational risk data have a tendency panhandle. Extreme value
identification method used is the Peaks over Threshold (POT) method. The results showed that the
amount of funds bank XXX must reserve to cover the possibility of operational risk in the period of
2010 amounted to Rp 737,210,874, - at 99.9% confidence level. Backtesting results demonstrate that
viable models to be used as a means of measuring operational risk by 99.9% confidence level, for all
types of operational risk events.