Bank size and tail losses skewing SMA calculation

Op risk researchers criticise logic of planned new capital method

A proposed new regulator-set method for calculating operational risk capital will produce numbers that over-react to tail losses and to differences in bank size, according to two different groups of researchers. It is the latest criticism of plans to end the banking industry's 16-year experiment with op risk capital models.

Under plans published by the Basel Committee on Banking Supervision in March, the advanced measurement approach (AMA) – which allows banks to build their own models – and

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