2008 LDCE “under consideration”

Basel Committee on Banking Supervision to discuss a new loss data collection exercise at its next meeting in January

A new operational risk loss data collection exercise (LCDE) will be considered at the Basel Committee on Banking Supervision’s next meeting in January, according to Marco Moscadelli, senior analyst in banking supervision at the Bank of Italy and a member of the BCBS’s Accord Implementation Group.

Moscadelli, who was speaking at the OpRisk Middle East conference today in Dubai, noted the last global LDCE was conducted in 2001 and reported on by the Basel Committee in 2002. The US, Germany and a handful of other countries also conducted an LDCE in 2004, which was reported on in 2005. The new LDCE is expected to be global in scope, and could kick off as early as the first quarter of 2008 once it is approved.

LDCEs collect and compare loss data from banks in countries implementing Basel II, and were used to calibrate calculations for the various op risk approaches under the new Basel Accord when it was in development.

Moscadelli says the committee will discuss the “deliverables” of the LDCE for the banks themselves, including the format of the data input templates, and how the data will be processed and reported back to the industry.

Moscadelli also indicated there was a possibility that scenario analysis results will also be included in the LDCE, as many banks have been relying more on scenarios than on loss data in their op risk models.

Lastly, he said the LDCE would enable regulators to compare the data of advanced measurement approach candidates globally.