Op risk modelling limited to largest EU banks

Smallest banks do not use AMA at all

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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