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

To continue reading...

You need to sign in to use this feature. If you don’t have a 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: