Japan FSA’s simple formula for operational risk capital
A new formula from the Japanese FSA allows a risk-sensitive calculation of op risk capital levels, which could lead to banks increasing their capital holdings under the advanced measurement approach
Since the introduction of Basel II, there has been a wider and more sophisticated use of operational risk capital (ORC) models, but at the same time, a number of problems have become apparent. The most obvious is that the industry has still not seen an established standard approach for measuring ORC – banks with similar risk profiles but different methods could hold very different levels of
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