Capital models should reflect loss grouping – research
Ex-StanChart chief exec advocates replacing current op risk capital framework with regulator-set buffer
By: Sergio Scandizzo
Read Risk.net's coverage on the controversial move to the standardised measurement approach
Revised op risk capital framework unlikely to be implemented uniformly, even when a deal is agreed, bankers say
Internal memo attributes changes to increased demand for analytics
New research adds to criticism of proposed op risk capital method
SMA could act as a floor for calculating op risk RWAs, suggests Filippo Curti
Bank treasurers call plan to underpin internal models with standardised floors “unmanageable”
Cladistic analysis shows importance of control failure, crime and fraud
The author of this paper explores the reasons for the pending demise of the advanced measurement approach (AMA) to operational risk.
The aim of this paper is to integrate prior information into a robust parameter estimation via OBR-estimating functions.
Bump to operational risk capital under SMA could be bigger than expected, experts warn
Regulators could rescue op risk modelling through Pillar 2, writes former supervisor
Basel Committee to integrate insurance and divestitures, but SMA still lacks forward-looking approach
Bayesian approach touted for mis-selling and other management failures
Modelling shift to 'crisis mode' mitigates pro-cyclical calculations
The author of this paper assesses operational loss data and its implications for risk capital modeling.
Comments on the Basel Committee on Banking Supervision proposal for a new standardized approach for operational risk
In this paper, the behavior of the SMA is studied under a variety of hypothetical and realistic conditions, showing that the simplicity of the new approach is very costly.
Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?
This paper discusses and studies the weaknesses and pitfalls of the SMA and the implicit relationship between the SMA capital model and systemic risk in the banking sector.
Lack of recognition in new SMA capital charge could cause market to shrink, worry insurers
Sfr270 million transaction by Credit Suisse and Zurich thought unlikely to be copied due to SMA
Op risk researchers criticise logic of planned new capital method
The AMA doesn’t make any sense – but the idea of a single, simple equation does, writes Ruben Cohen