Attempts to measure operational risk capital have not gone well. The advanced measurement approach (AMA) by all accounts has proved a failure. The Basel Committee’s attempt to introduce a model-driven process for calculating operational risk capital was criticised by the industry and then formally rejected by regulators. In its place, Basel has developed a new, simplified methodology: the standardised measurement approach, or SMA. Part of the final package of revisions to Basel III, the SMA has
- People moves: SocGen adds in prime services, Deutsche fills new rates hole, HSBC makes model move, and more
- Credit risk quants are hitting the tech gap
- Princeton tops inaugural Risk.net quant master’s ranking
- Does credit risk need an expected shortfall-style revamp?
- Teach history to avoid mistakes of yesterday’s quants