УДК 001.82:005.334:502.131.1
(UDK 001.82:005.334:502.131.1)
(ON METHODOLOGICAL APPROACHES TO DETERMINATION OF ACCEPTABLE RISK LEVEL. PART 1. GENERAL REVIEW OF THEORY AND PRACTICE IN DETERMINATION OF RISK APPETITE AND RISK TOLERANCE INDICATORS)
The article covers acceptable risk level concept and the methodological approaches to identify and determine it adopted
by vertically integrated holding companies.
In theory and practice, the acceptable risk level is often linked to such concepts as risk appetite, risk tolerance, and risk capacity. The first part of this article gives a brief overview of the terms provided in the standards and regulatory documents, and shows their interrelation. The purpose of the study is to present a systematic view of the practical approaches to determine the acceptable risk level in establishing restrictions related to a company’s risks, and their management within tolerable limits.
Examples are given for application of the concept in establishing risk appetite at the qualitative level in the form of prohibitions and restrictions, as well as risk tolerance as acceptable deviations of key performance indicators. The second part gives a brief overview of the practical use of the concept at the operational level and general recommendations on selection of quantitative indicators to establish the acceptable risk level, and describes a number of general criteria to be adhered to when implementing the concept.
A.A. Bykov, DSc in Physics and Mathematics (Saint Petersburg, Russia), PJSC Gazprom, A.Bykov@adm.gazprom.ru
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