Page 21 - Azerbaijan State University of Economics

Aimene Farid, Bahi Nawel:Operational Risk Estimation Using the Value-at-Risk (VAR)
Method: Case Study of the External Bank of Algeria (EBA)

Estimating the Value at Risk of the Embezzlement Event Using the Scheduling
Process:
The value at risk of an embezzlement event is estimated using the scheduling process
through the following stages:

Modeling The Frequency Distribution f (n):
In the same way as before, in a computer crash, we calculate the probability of
recurrence using the Poisson distribution probability law, so we get the results shown
in the following table and figure, as the average is estimated as: = = . .
⁄

0.8 Table 09: Distribution of frequency of
embezzlement event
0.6
Frequency n Probability f(n)
0.4
0.2 0 0,67032005
0 1 0,26812802
0 1 2 3
Figure 08: Distribution of frequency of 2 0,0536256
embezzlement event 3 0,00715008
Source: Prepared by the two researchers Source : Prepared by the two researchers using
using Excel, Based on the values of Table 03 Excel, based on the source values of Table 09.

Through the previous table and figure, we note that the highest possible probability
is that embezzlement does not occur with a probability of 67.03%, followed by it
being repeated once with a probability of 26.81%.

5.4.2. Modelling The Severity Distribution:
As in the first example, we calculate probability using the probability law of normal
distribution, where the following table shows the calculation of the mean and standard
deviation of loss values:

Table 10: Calculation of the average and standard deviation of loss values
(million DZD)
Loss Value Vi − / ( − )

V-D1 4.5 (625) 203965,141
v2 20 436 190205,016
v 3 500 875 1925,01563
v4 1300 843 712125,016
Total 1824 - 1108220,19
µ 456 Σ 277055,047
Σ 526,360187

Source: Prepared by the two researchers using Excel, based on the values of Table 03.

21