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Internal operational risk models have not yet been established as a methodology for calculating regulatory capital. ese models, which must be integrated with operational risk management, have been criticized for the subjectivity of some of their fundamental elements. e purpose of this paper is to demonstrate the use of the “scenario analysis” element in the Loss Distribution Approach (LDA) methodology for calculating regulatory capital relative to operational risk, based on the experience of the Brazilian Development Bank (BNDES) in integrating operational risk management with the measurement of capital. e proposed methodology, which applied the Delphi technique through questionnaires, enabled: (i) the measurement of regulatory capital considering feasible scenarios; (ii) the identi cation of tail and body scenarios for the aggregate distribution of losses, which are not re ected in the internal loss database; (iii) the identi cation and comprehensive measurement of BNDES’s operational risks; (iv) the obtainment of information that can guide risk management with regard to identifying risks that must be given prioritized treatment; (v) the development of a risk culture, with a view to involving specialists from di erent units; and (vi) the use of a methodology that can be understood by all business experts, who are the ones that are aware of the risks of their activities.

Scenario analysis in the BNDES experience: integrating operational risk management with the measurement of capital