US and Australian banks favour the advanced measurement approach for calculating operational risk capital requirements more than their European and Japanese peers, a Risk Quantum analysis shows.
A survey of 47 of the 50 banks in the Risk Quantum sample showed that 20 had 100% of their op risk capital generated under the AMA as of end-June 2018, of which nine were American, four Australian, two Swiss and one Canadian. Only four European banks calculated their op risk capital exclusively using
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