European banks junk op risk modelling
The share of European banks’ operational risk calculated using internal models is shrinking as big firms abandon the soon-to-be-retired advanced measurement approach (AMA).
Of the €64 billion in total operational risk capital held by the 22 largest European banks at end-June, 36% was generated using the AMA and 63% using the regulator-set standardised approach.
Barclays and BNP Paribas dumped the AMA in its entirety in the first half of the year, resulting in some €9.6 billion of op risk that
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