CCAR gives op risk modelling a new lease of life

OpRisk North America: Fed’s annual stress tests are rehabilitating ‘black box’ op risk modelling

Federal Reserve
Federal Reserve: stress tests have legitimised the field of op risk modelling

The US Federal Reserve’s annual stress tests for large banks may have accomplished what the Basel Committee on Banking Supervision could not: legitimising the field of operational risk modelling. 

The committee’s advanced measurement approach (AMA) for operational risk – which is being scrapped in favour of a simpler, standardised approach – allowed banks to use their own models to calculate regulatory capital charges. However, AMA models were often perceived as ‘black boxes’ that failed to

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