Operational risk in an insurance company and approaches to calculating its solvency capital requirement

The objective of the dissertation is to compare the standard formula for calculating the Solvency Capital Requirement allocated to operational risk with the internal model using the theory of extreme values. Furthermore, compare internal models based on the theory of extreme values and scenario analysis. Internal models are based on real database of an anonymous insurance company operating in the Central and Eastern European market. The dissertation describes in detail the operational risk, including its management and tools. The last objective of the dissertation is to compare the standard methods of calculating the capital allocated to operational risk in the insurance and banking sectors. From a methodological point of view, the dissertation in its empirical part is based on the application of descriptive, analytical and comparative methods. A comparison of the standard formula and the internal model based on the theory of extreme values shows that the standard formula may not always be a more conservative approach to managing operational risk in insurance companies. Scenario analysis does not always give more conservative results than extreme value theory, as it depends on defining the worst possible impact. At the same time, it is stated that the standard methods of banks and insurance companies are based on completely different parameters, which are not explicitly related to operational risk.