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).
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