Implementing the AMA: an insider's view
From the beginning of the Basel II discussions, Commerzbank decided to implement a risk-sensitive approach that could be used for both Pillar I and Pillar II purposes. Without the long-standing experience that underpinned market or credit risk models, at the beginning of the AMA development banks had to rely almost exclusively on Basel II and Capital Adequacy Directive III requirements for guidance in combining the four AMA elements of
• internal loss data
• external loss data
• scenario data
•
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