Mark up the scorecard

Sergio Scandizzo and Roberto Setola explore the application of a scorecard approach to the measurement of operational risk, assessing both its reliability as a risk-management tool and the practicalities of its implementation.

In its third consultative paper (CP3) on the new Basel Capital Accord (NCA) the Basle Committee for Banking Supervision (BCBS), while confirming its approach to risk measurement based on increasing levels of sophistication, dedicates only two small paragraphs to the description of the advanced measurement approach (AMA). This approach allows banks to rely on their internal operational risk measurement systems to determine the operational risk regulatory capital requirement when a number of

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