Operational Risk Loss Reserve Analysis of a Non-Financial Company

A Case Study of PT. KLM

DOI

10.2991/aebmr.k.201222.018How to use a DOI?

Keywords

Operational Ris, Loss Reserve, OpVaR, Advanced Measurement Approach, Loss Distribution Approach, Car rental company

Abstract

The purpose of this research is to analyze the operational risk of a car rental company and whether it can be applied within the company to measure the risks. This research is conducted by measuring the Operational Value at Risk (OpVaR) of PT KLM. The data used in this research is the operational losses of PT KLM for the past 26 months starting from January 2018 to February 2020. This research uses a loss distribution approach-aggregation method in measuring the operational risk. The results indicate that the value of OpVaR of PT KLM is valid after backtesting of the one-year period from January to December 2019 with the lowest OpVaR value of IDR91.053.721 and the highest OpVaR value of IDR104.550.879. This research is expected to provide additional understanding of operational problems and the amount of risk that might be faced by car rental companies, so that it can be used in planning as well as providing mitigation alternatives that can be applied to minimize potential operational losses.

Copyright

© 2020, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Aryo Candra Hilali
AU  - Adi Vithara Purba
PY  - 2020
DA  - 2020/12/23
TI  - Operational Risk Loss Reserve Analysis of a Non-Financial Company
BT  - Proceedings of the International Conference on Business and Management Research (ICBMR 2020)
PB  - Atlantis Press
SP  - 123
EP  - 129
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.201222.018
DO  - 10.2991/aebmr.k.201222.018
ID  - Hilali2020
ER  -