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

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 [email protected] or view our subscription options here:

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: