Sigor to recalibrate TSA betas for operational risk capital

Victoria Tozer-Pennington
17 Mar 2010

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The Basel Committee on Banking Supervision's Standards Implementation Group on Operational Risk (Sigor) has launched a quantitative impact study (QIS) exercise to re-examine whether the capital calculations for operational risk – the alpha under the basic indicator approach (BIA) and the betas under the standardised approach (TSA) – need to be reformed.

The Basel II Accord states that the Basel Committee always intended to reconsider the calibration of both approaches "when more risk-sensitive

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