The text offers concepts and applications on operational risk. In the first part are the foundations in financial theories, identification and description of the tools that serve as support for the measurement of operational risk (financial theories, statistics and probability), and the second part, the operational risk measurement models, description of the theoretical approaches of the models most used in the calculation of expected and unexpected losses for the measurement of operational risk and the development of the practical approach in the measurement of operational risk for the calculation of expected and unexpected losses (LDA model, panjer algorithm, copula theory, extreme value theory and distribution gh).