The risk management in financial institutions, more than just an imposition of the regulatory agencies, represents a success factor in the processes enhancement, elevating the financial results. After Basel Accord, credit and market risks management, which acts over earnings, were implemented. However, some risks are associated to the expenses, such as the operational risk, related to the losses from internal control, systems, human and external events problems. The aim of the present study was the elaboration of an extensive literature review and the development of a computation system prototype able to measure the operational risk VaR of a risk unit, using the Loss Distribution Approach (LDA) and to apply causal models that explain these losses. This prototype is an Internet/intranet application developed in ASP language, using MS-Access as database. For statistical evaluation, an interface between the application and MATLAB was implemented. The literature review pretended to give a better understanding of the basic concepts of operational risk described by the Basel Committee. In addition, it presented technical details for LDA implementation, such as Frequency and Severity Distribution, methods for the distribution of the operational losses determination and losses database construction. Independent of institutional peculiarities, this prototype allows the observation of strategic and operational providences to be taken for implementation and implantation of a similar system. It determines a startingpoint in the development of an operational risk management product valuable in several institutions and market segments.