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Publicação
Estudo e Avaliação de um Sistema de Gestão de Risco Operacional: O Caso de uma Empresa Seguradora em Portugal
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Orientador(es)
Resumo(s)
Face ao aumento da importância do risco operacional e das suas consequências, nas
últimas décadas, as instituições financeiras e os reguladores têm-se focado cada vez mais na
criação de sistemas de gestão de risco operacional robustos. Por conseguinte, a
regulamentação tem evoluído para que se reduza a exposição ao risco operacional.
Desta forma, a União Europeia introduziu o regime de Solvência II para diminuir os
problemas de solvência do mercado segurador e ressegurador europeu. O Pilar I compreende
os requisitos quantitativos de Capital, em que se calcula o Requisito de Capital de Solvência
(SCR), através da aplicação da fórmula-padrão. O Pilar II compreende os requisitos
qualitativos, que abrange os sistemas de governação. O Pilar III compreende a transparência
e a disciplina de mercado, através da divulgação pública de informação e de reporte. O Pilar
II é uma novidade do regime de maneira a colmatar algumas das limitações do Pilar I e da
aplicabilidade da fórmula-padrão para determinar o requisito de capital do Risco Operacional.
A presente dissertação destaca a importância de implementar sistemas de gestão de risco
e controlo interno robustos e eficazes, bem como implementar estratégias e medidas para
mitigar e reduzir a exposição do risco operacional.
Para tal, recorreu-se ao método aplicado e desenvolvido pela Fidelidade, o Ciclo ROCI
(Risco Operacional e Controlo Interno) composto por cinco etapas, que permite identificar e
avaliar os riscos e os controlos associados às atividades das áreas de negócio, bem como
reportar a sua exposição e propor oportunidades de melhoria.
Analisaram-se os processos de 17 áreas e identificaram-se 414 riscos, 204 controlos e 67
oportunidades de melhoria. Apenas 20% dos riscos possuíam avaliação quantitativa,
aproximadamente, com um VaR acumulado de 3,5M€. Comparou-se a avaliação do risco com
o registo de 10 eventos de risco operacional. Constatou-se que 24% dos controlos têm
deficiências a nível da eficácia e execução.
Por fim, o Ciclo ROCI fornece informação mais detalhada e realista sobre a exposição do
risco operacional, algo que a fórmula-padrão não é capaz, evidenciando a utilidade e eficácia
do método.
Given the growing importance of operational risk and its consequences, financial institutions and regulators have increasingly focused on creating robust operational risk management systems in recent decades. As a result, regulations have evolved to reduce exposure to operational risk. The European Union introduced the Solvency II regime to reduce solvency problems in the European insurance and reinsurance markets. Pillar I comprises the quantitative capital requirements, in which the Solvency Capital Requirement (SCR) is calculated by applying the standard formula. Pillar II comprises qualitative requirements, covering governance systems. Pillar III comprises transparency and market discipline, through public disclosure of information and reporting. Pillar II is new to the regime to address some of the limitations of Pillar I and the applicability of the standard formula for determining the Operational Solvency capital requirement. This dissertation highlights the importance of implementing robust and effective risk management and internal control systems, as well as implementing strategies and measures to mitigate and reduce operational risk exposure. To do so, the method applied and developed by Fidelidade was used, the five-step ORIC Cycle (Operational Risk and Internal Control), which makes it possible to identify and assess the risks and controls associated with the activities of the business areas, as well as to report on their exposure and propose opportunities for improvement. The processes of 17 areas were analysed and 414 risks, 204 controls and 67 opportunities for improvement were identified. Only approximately 20 per cent of the risks had a quantitative assessment, with an accumulated VaR of €3.5 million. The risk assessment was compared with the recording of 10 operational risk events. It was found that 24 per cent of controls were deficient in terms of effectiveness and execution. Finally, the ORIC Cycle provides more detailed and realistic information on operational risk exposure, something that the standard formula is not capable of, demonstrating the usefulness and effectiveness of the method.
Given the growing importance of operational risk and its consequences, financial institutions and regulators have increasingly focused on creating robust operational risk management systems in recent decades. As a result, regulations have evolved to reduce exposure to operational risk. The European Union introduced the Solvency II regime to reduce solvency problems in the European insurance and reinsurance markets. Pillar I comprises the quantitative capital requirements, in which the Solvency Capital Requirement (SCR) is calculated by applying the standard formula. Pillar II comprises qualitative requirements, covering governance systems. Pillar III comprises transparency and market discipline, through public disclosure of information and reporting. Pillar II is new to the regime to address some of the limitations of Pillar I and the applicability of the standard formula for determining the Operational Solvency capital requirement. This dissertation highlights the importance of implementing robust and effective risk management and internal control systems, as well as implementing strategies and measures to mitigate and reduce operational risk exposure. To do so, the method applied and developed by Fidelidade was used, the five-step ORIC Cycle (Operational Risk and Internal Control), which makes it possible to identify and assess the risks and controls associated with the activities of the business areas, as well as to report on their exposure and propose opportunities for improvement. The processes of 17 areas were analysed and 414 risks, 204 controls and 67 opportunities for improvement were identified. Only approximately 20 per cent of the risks had a quantitative assessment, with an accumulated VaR of €3.5 million. The risk assessment was compared with the recording of 10 operational risk events. It was found that 24 per cent of controls were deficient in terms of effectiveness and execution. Finally, the ORIC Cycle provides more detailed and realistic information on operational risk exposure, something that the standard formula is not capable of, demonstrating the usefulness and effectiveness of the method.
Descrição
Palavras-chave
Risco Operacional Sistemas de Gestão de Risco Solvência Pilar I Pilar II Ciclo ROCI