Advanced measurement approach (AMA)
US regulators restrict Basel II adoption amid agency infighting
In Congressional hearings on February 27, top US bank regulators sharply criticised the proposed Basel Accord revisions, and used their criticisms to justify plans to apply the new set of international banking regulations to only the top 10 banks in the…
ORIAG paper published on FSA website
The Operational Risk Implementation Advisory Group (ORIAG), which is chaired by the UK's Financial Services Authority (FSA), has posted its working paper, "Implementation of the Capital Accord for Operational Risk" on its website.
How to avoid overestimating capital charges for op risk
Pooling internal and external data is a central issue to estimating capital charges for operational risk. Here, Nicolas Baud, Antoine Frachot and Thierry Roncalli of Crédit Lyonnais discuss the methodology they have developed.
Banca Intesa: conquering the cultural challenges of op risk
MILAN - Much ink will be spilled over the more quantitative aspects of operational risk — modelling, data gathering, technology infrastructure, for example. But it's the cultural challenges of implementing an operational-oriented framework that risk…
Global banking community poised and ready for QIS 3 op risk results
BASEL, SWITZERLAND – Bankers are eagerly awaiting the results on operational risk from the third Quantitative Impact Study (QIS3).
Measuring the operational risk of fund valuation companies
How can we model the losses due to operational risk in asset management? The loss process approach provides an answer specifically suited to this question for the fund valuation business and is in line with the work in progress of the Basel Committee on…
Cad 3 - Against their will [full story]
Europe's asset management industry is chiding Brussels bureaucrats for trying to bury it under a mountain of Basel-inspired regulation, which could boost costs and capital charges.
European asset managers gear up for CAD3
European asset management firms wanting to comply with the most sophisticated measurement method allowed in the revised Basel Accords—the advanced measurement approach (AMA)—must prepare now, as it requires them to have a whole set of advanced risk…
QIS 3 suggests Basel II op risk charges and insurance role
BASEL - The third Basel II quantitative impact study, or QIS 3, brings bankers up to date with the latest thinking of global banking regulators on the treatment of operational risk under the complex Basel II bank protective capital accord.
Implementing Basel II: the practical implications
180 risk professionals gathered in London last month to discuss the practical implications of implementing Basel II. National discretion, economic capital models and data collection and consistency were all hot topics at this PRMIA/ISDA-hosted event.
Op risk rules inadequate, says Isma professor
LONDON - The Basel II capital accord rules regarding operational risks for financial institutions are inadequate, Jacques Pézier, a visiting professor at Reading University’s Isma Centre, told delegates at a conference in London this morning.
Practitioner analysis: Reaping the advantages of Basel II
David Stone of Zions Bancorporation describes how the US bank plans to underpin its enterprise-wide risk management by implementing the Basel II accord’s advanced approaches to measuring operational risk.
Back to the floor
Australia’s major banks are all targeting the advanced measurement approach for calculating operational risk capital under the new Basel Accord. As such, the concept of a floor is proving irksome, writes Nick Sawyer.
A cost/benefit approach to Basel II
The cost of implementing Basel II could put banks at a competitive disadvantage compared with non-banks, and spur them to ‘de-bank’ to avoid this regulatory burden. Harry Stordel and Andrew Cross say regulators must look at the provisions from a cost…
Weary recognition of gross income as Basel II op risk measure
LONDON - There was "weary recognition" among bankers that the use of gross income as a measure of operational risk was the least bad approach, said Richard Metcalfe, co-head of the European office of the International Swaps and Derivatives Association …
The Basle II capital accord: op risk proposals in brief
This summary has been updated to include the revisions to the Basle II op risk proposals contained in the Working Paper on the Regulatory Treatment of Operational Risk issued in September, 2001 and available on the Bank for International Settlements’…
Basel II - Rules and Models
The proposed operational risk charge remains one of the most contentious areas of the new Basel Accord. Carol Alexander reviews the current proposals in the context of various simple models, and argues that practical implementation will require the use…
Basel shortcomings: Danger lurks on the rocky road to Basel II
The Basel Accord proposals to define operational risk contain many fatal flaws, says Jacques Pézier. He argues that it would be better to focus management time on managing key risks than on developing op risk databases and measurement procedures.
A major improvement
In May, David Rowe wrote that the Basel Committee ‘could do better’ with respect to the inclusion of operational risk in the capital Accord. Here, he says the working paper the committee published in late September outlines a major and valuable…
Is there hope in the advanced measurement approaches?
Basel II is mistaken in assuming a stable relationship between expected and unexpected losses, argues Jacques Pézier in his second article on the Basel Committee’s recent operational risk working paper.
Banks still nervous about gross income as an op risk indicator
BASEL - Banks seem pleased with many aspects of the recent working paper on operational risk issued by global banking regulators, but are still nervous about some of the cross-border anomalies that could be thrown up by the use of gross income as a risk…
Accounting for error
A new discussion paper on operational risk has been published, but with many banks in Asia still struggling with non-performing loans, some bankers question the ability of troubled banks to cope with this charge. AsiaRisk investigates.
Advanced measurement approaches
The September working paper on operational risk from the Basel Committee on Banking Supervision confirmed that global banking regulators are looking at a range of advanced ways of calculating op risk capital charges instead of a single method.
Operational risk: the last frontier
This month sees the publication of a position paper on operational risk by the Basel Committee on Banking Supervision. Mark Lawrence, ANZ Bank’s chief risk officer and an expert on Basel’s controversial proposals for a charge on op risk, tells us what to…