Complex op risk models open to high error, study finds

Measuring 1-in-1,000 year loss events ‘unrealistic’, researchers say

Mathematical error

Operational risk models used by many large banks could produce flawed results when calculating extreme tail risk events, upcoming research shows. The findings suggest that firms may be holding too much, or too little, capital against these risks.

The Basel II capital rules gave banks the option – at their regulators’ discretion – of using internal models to calculate their own Pillar 1 capital requirements for operational risk, under the advanced measurement approach (AMA), one of three options

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: http://subscriptions.risk.net/subscribe

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 Risk.net 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: