Marco Migueis is a principal economist at the Division of Supervision and Regulation of the Federal Reserve Board. Marco represents the Board at Basel Committee’s working groups on operational risk and evaluation of reforms, and led analytical work on the development of the new standardized approach for operational risk capital. His operational risk experience also includes the examination of AMA and CCAR models of multiple US GSIBs. Marco has published multiple research articles, some on operational risk. Prior to working at the Board, Marco worked at the FRB of Richmond and Fannie Mae. Marco earned his PhD in Economics from the Massachusetts Institute of Technology.
Regulatory arbitrage in the use of insurance in the new standardized approach for operational risk capital
Basel’s new standardized approach (SA) for operational risk capital may allow for regulatory arbitrage through the use of insurance. Under the SA, banks will likely have an incentive to insure recurring losses. Such insurance can meaningfully reduce…
This paper outlines several approaches to benchmarking operational loss projections under stressed scenarios using both accounting metrics and historical loss experience.
This paper evaluates the operational risk capital requirements of large US banks to determine whether they are forward looking, sensitive to banks’ current exposures and designed to allow for risk mitigation.
This paper proposes an alternative framework for setting banks’ operational risk capital, which allows for forward-looking assessments and limits gaming opportunities by relying on an incentive-compatible mechanism.