Op risk modelling limited to largest EU banks
Operational risk models are used almost exclusively by the very largest banks in the European Union, data from the EU-wide transparency exercise shows.
In a sample of 131 banks, those in the upper (fourth) quartile by revenue used the advanced measurement approach (AMA), which employs op risk models, to calculate 47.9% of their total op risk capital as of end-June. Of the remainder, 49.6% was calculated using the standardised approach (SA) and 2.5% using the basic indicator approach (BIA).
In
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Risk Quantum
7 days in 60 seconds
Compounding, venue disruptors and the Fed’s stress buffer
The week on Risk.net, January 11–17, 2020
Receive this by email