OpRisk Europe: 1,000-year standard is unreachable, Mignola says
ORX chairman says Basel II definition is fundamentally flawed
The thousand-year standard set for operational risk capital calculation by the Basel II capital rules is fundamentally flawed and misleading, the OpRisk Europe conference in London heard today.
Giulio Mignola, chairman of the ORX operational risk loss data consortium and head of operational risk at Intesa Sanpaolo, pointed out that observed operational risk loss data was "heavy-tailed" and tended
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