In the measurement of operational risk there are two approaches that can be used, namely:
1. The standard method
2. Internal methods of advanced measurement approach (AMA).
Operational risk measurement by standard methods can use the method of the Basic Indicator Approach (BIA), Standardized Approach (SA), and the Alternative Standard Approach (ASA). This will be described in terms of operational risk measurement procedure with the BIA.
Measurement of operational risk using the BIA method of procedure is as follows:
1. Risk Management Division of Bank income data request for 3 (three) years.
2. Based on data from bank income statements for 3 (three) years, the Risk Management Division to calculate the amount of gross income (gross income) for 3 (three) years, and calculates the average value of gross income. Component of profit and loss accounts are included to calculate the amount of gross income can be seen below.
To calculate the amount of gross income used in the BIA method of revenue and expense components as follows:
1. Interest income consists of:
1.a Interest income decreased by
1.b Interest expense equal to
1.c net interest income
2. Non-interest income consists of:
2.a dividend income, commissions, fees, and fee
2.b Benefits spot and derivatives transactions
2.c Increase in fair value (MTM) securities
2.d The increase in fair value (MTM) of loans
2.e The increase in fair value (MTM) and other financial assets
2.f Gain on sale of securities in the trading book
2.g Gain on sale of loans in the trading book – Diperdangkan
2.h Gain on sale of other financial assets in the trading book – Traded
Other non-interest income 2.i
2 Total non-interest income
3. Non-Interest Expense comprising of:
3.a Commission, commission, or fee
3.b Losses spot and derivatives transactions
3.c Decrease in fair value (MTM) securities
3.d Decrease in fair value (MTM) of loans
3.e Decrease in fair value (MTM) and other financial assets
3.f Losses from the sale of securities in the trading book – Traded
3.G Losses from credit sales in the trading book – Traded
3.h Losses from sale of other financial assets in the trading book – Traded
3 Total non-interest expenses
A. Gross revenue (1 + 2 – 3)
B. Average Gross Income (? A1 … A3 / n)
C. Capital charges for Operational Risk (15% x B)
D. Risk-Weighted Assets for Operational Risk (12.5 X C)
3. After earning an average gross income, the amount of potential operational risk losses can be calculated using the formula below BIA.
KBIA = ? [(GII * ?)]/(n3)
KBIA = the operational risk capital charges BIA approach
? = parameter alpha
GII = gross profit (gross income) in i
n3 = number of data samples (n3 = 3).