An advanced model for op risk capital calculation


The Basle II regulators need to develop a comprehensive approach to op risk modelling, says Tony Blunden in his final article on the new capital accord

Global banking regulators should consider an advanced method of using three sets of risk data -- self assessment, internal key indicators and external losses -- to develop a comprehensive operational risk model approach.

I have argued (see Operational Risk, March 2001, page 19) that the single model for using internal data for op risk capital c

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: