Implementing a scenario-based AMA


This paper was presented at the Basel Committee on Banking Supervision’s conference on Leading-edge issues in operational risk measurement in New York at the end of May. It was written by the sbAMA working group and co-ordinated by Dr Ulrich Anders of Dresdner Bank. Other members of the sbAMA working group were: Banca Intesa, Barclays Bank, Fortis Bank, Halifax Bank of Scotland, Lloyds TSB, The Royal Bank of Scotland Group, UFJ Holdings and Euroclear

Risk, defined as the combination of severity

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