Share of op risk modelling falls at European banks
Less than half of analysed dealers rely on the AMA, as introduction of new standardised approach looms large
The share of European banks’ operational risk calculated using internal models has been shrinking steadily over the past two years as firms get ready for the implementation of the updated Basel III framework requiring all dealers to shift to a new standardised measurement approach (SMA).
A survey of 26 European banks shows that of the €611 billion ($646 billion) in total operational risk-weighted assets at the end of the second quarter, 55.9%, or €342 billion, were calculated under the advanced
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