
Australia suggests new guidance for AMA for operational risk
The revised approach for the Australian banking system’s Advanced Measurement Approaches (AMA) for operational risk was released today by the country’s regulator. The Australian Prudential Regulatory Authority’s (Apra) guidance has been updated in the draft prudential standard and prudential practice guide (PPG).
Australia Prudential Standard (APS) 115 reflects industry suggestions made for the operational risk regulatory capital calculation methodology.
The revised guidance states that any measurement system must be able to allocate economic capital for operational risk to internal business lines and be consistent across the entire institution.
It also must contain incentives to improve risk management and be understood from the board down. “Each business line must be able to clearly articulate the drivers of its operational risk profile and demonstrate how it utilises the outputs of the operational risk measurement system to supplement its day-to-day management processes,” states the guidance.
Industry also submitted a number of comments over the corporate governance and risk management criteria surrounding an internal modelling approach.
Taking industry comments on board, the new guidance states that the firm’s internal modelling approach must be “conceptually sound, comprehensive, consistently implemented, transparent and capable of independent review and validation.”
Additionally, “the Authorised Deposit-taking Institution’s (ADI) operational risk measurement system must be sufficiently comprehensive to capture all material sources of operational risk across the ADI, including those events that can lead to rare and severe operational risk losses.”
Australia is scheduled to finalise all of the prudential standards required for Basel II in the first half of 2007 with a view to implementing Basel II on January 1, 2008.
Apra is seeking comments on the new draft until November 30. Click here to see the proposed guidance on Apra’s website.
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Risk management
After SVB downfall, EBA stress test seeks out unrealised losses
European regulator asks for data on the fair value and sensitivity of bonds and their hedges
Risk modellers navigate fearful new world of depositor behaviour
Silicon Valley Bank suffered fastest bank run in history, but how should others respond?
Eurex scrambles to avert Treasury collateral ban on US default
Current policy prevents CCP from selectively excluding eligible collateral
Quant Finance Master’s Guide 2023
Risk.net’s guide to the world’s leading quant master’s programmes, with the top 25 schools ranked
UBS found no advantage in quantum computing – ex data chief
Swiss bank tested various use cases in the trading business before giving up on the technology
Op risk data: Frank fiasco costs JP Morgan $175m
Also: Internal fraud burns fewer fingers, but flame is far from out. Data by ORX News
Eurex clearing chief calls for active account carve-outs
Isda AGM: Müller says EU clearing thresholds should exempt market-making and US client trades
CCPs mull collateral options amid debt ceiling deadlock
Isda AGM: Raising haircuts and minimum maturities are among measures on the table to avoid a cliff-edge