A note on the standard measurement approach versus the loss distribution approach–advanced measurement approach: the dawning of a new regulation
This paper presents a nonexhaustive review of the literature on operational risk quantification under a combination of the loss distribution approach model – the most commonly used of the AMA models – and extreme value theory.
In this paper, the author presents an easy-to-implement, fast and accurate method for approximating extreme quantiles of compound loss distributions (frequency + severity), which are commonly used in insurance and operational risk capital models.
Complexity is slowing roll-out of standards, says Basel Committee deputy
Read Risk.net's coverage on the controversial move to the standardised measurement approach
The issues with the standardized measurement approach and a potential future direction for operational risk capital modeling
This paper discusses the criticism and praise the SMA and AMA have received, respectively, in many recent articles.
Battle to replace AMA with non-models approach was beset by nationalistic squabbles
Three regulators echo bank dismay as key principle of op risk capital framework is abandoned
Proposed forward-looking approach would permit internal modelling, but penalise banks if losses exceed estimates
Leaked proposals say loss component will be left to national regulators, threatening an unlevel playing field
Capital models should reflect loss grouping – research
Ex-StanChart chief exec advocates replacing current op risk capital framework with regulator-set buffer
Revised op risk capital framework unlikely to be implemented uniformly, even when a deal is agreed, bankers say
Internal memo attributes changes to increased demand for analytics
New research adds to criticism of proposed op risk capital method
SMA could act as a floor for calculating op risk RWAs, suggests Filippo Curti
Bank treasurers call plan to underpin internal models with standardised floors “unmanageable”
Cladistic analysis shows importance of control failure, crime and fraud
The author of this paper explores the reasons for the pending demise of the advanced measurement approach (AMA) to operational risk.
The aim of this paper is to integrate prior information into a robust parameter estimation via OBR-estimating functions.
Bump to operational risk capital under SMA could be bigger than expected, experts warn
Regulators could rescue op risk modelling through Pillar 2, writes former supervisor
Basel Committee to integrate insurance and divestitures, but SMA still lacks forward-looking approach
Bayesian approach touted for mis-selling and other management failures
Modelling shift to 'crisis mode' mitigates pro-cyclical calculations