Weary recognition of gross income as Basel II op risk measure

LONDON - There was "weary recognition" among bankers that the use of gross income as a measure of operational risk was the least bad approach, said Richard Metcalfe, co-head of the European office of the International Swaps and Derivatives Association (Isda). He was addressing the London OpRisk 2002 conference in January.

Metcalfe was participating in a panel debate on the framework of the op risk capital charge proposed under the Basel II bank capital adequacy accord. Isda is the trade organisation for the international financial risk management industry.

Insensitive measure
Panellists criticised the use of bank gross income as the basis for an op risk capital charge because of its insensitivity as a measure of the op risk actually faced by a bank.

Under proposals by the Basel Committee on Banking Supervision

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