Web based application for operational loss collection and value-at-risk and expected shortfall calculation

We study some issues of operational risk information system design and implementation in compliance with new requirements of Basel Committee on Banking Supervision and Bank of Russia. To meet regulatory requirements, banks need to create and regularly update an analytical database on operational risk losses extending back for some years. We provide requirements to the form and contents of the information to be registered for operational risk events and losses and list mandatory classifiers for risk event database. The structure of tables in risk event database is presented on entity-relationship diagram. Operational risk information system can be rapidly developed as a distributed system using web-framework Django. Such Django features as MVC (Model-View-Controller) pattern and ORM (Object-Relational Mapping) speed up the development of web-based application for risk event database and allow to avoid manipulating sophisticated SQL expressions. We provide examples of Django classes in Python for model component of Django risk event database application. We also develop and present algorithm for Value-at-Risk and Expected Shortfall calculation using data in operational risk event database. The algorithm can be easily implemented in Python using Django database-abstraction API. Copyright © 2019 for the individual papers by the papers’ authors.