SMA
WHAT IS THIS? The standardised measurement approach (SMA) is a method of assessing operational risk proposed by the Basel Committee on Banking Supervision in 2016 as a replacement for all existing approaches, including internal models. Critics have attacked the SMA as too blunt and backward-looking, delaying its approval.
How will US regulators perform the Basel III balancing act?
Largest banks seek offsets for higher capital requirements caused by possible end of IRB, IMM
Basel III heralds 41% op risk jump for EU banks
Capital requirements set to rise almost 88% for those G-Sibs that don’t currently use the AMA
Fed economist sounds alert over op risk capital arbitrage
Insurance payouts could allow banks to pare back capital without equivalent reduction in risk, says paper
Banks warn of rise in ransomware attacks
OpRisk Europe: Banks must improve resilience of remote-working staff, says Wells Fargo financial crime expert
Data error inflated Wells Fargo’s op risk capital by $5 billion
Sharp fall in Q1 RWAs followed removal of duplicate data
Banks detect daylight between EC and EBA on op risk capital
EC consultation seeks input on ‘cliff effects’ of including past losses
Uniform? Op risk capital rules go their own ways
Europe and Canada set to include historical losses in new standardised approach; Australia probably not
Model update pushes ING’s op RWAs up 17%
Changes to AMA model behind €6.2 billion uplift
CVA exemption in Basel III could save EU banks more than €18bn
Tweaks to op risk framework might reduce capital shortfall by €12.3 billion
ABA scenario analysis project could aid CCAR comparability
Scheme to agree on common risk drivers could help Fed benchmark risk exposures, says JP op risk expert
RBNZ places country’s largest bank under scrutiny
ANZ must report on director oversight and capital levels
EU G-Sibs add €2.7bn of op RWAs in 2018
Op risk charge anticipated to jump €21.5 billion under Basel III
Op risk capital: looking back in anger
Top 10 op risks survey shows industry has sights set on the horizon, even when regulators are looking backwards
Banks divided on op risk approaches
EU banks favour standardised approach, North American and Australian lenders the AMA
Basel turns its attention to operational resilience
New working group will focus on business continuity in the age of cyber threats
EU G-Sibs cut $14 billion in op risk
Banco Santander posted the largest decline – at 7% – with op RWAs falling to $70 billion
European banks junk op risk modelling
Barclays and BNP Paribas move to standardised approach in the second quarter
Top European banks shed $32 billion in op risk
5% average drop across 16 European banks reported quarter to quarter
Quants tout exposure-based approach to op risk modelling
Ebor especially suited to modelling loss events such as legal claims, say proponents
Problems remain with op risk standardised approach, say banks
US bill HR4296 could scupper US implementation of SMA, say op risk bankers
Citi’s CRO on the importance of risk sensitivity
Brad Hu talks modelling, CECL and setting risk culture
Op risk standard will hike capital by 11% – latest data
Rises in capital under SMA will vary depending on regulator treatment, writes op risk expert
An operational risk capital model based on the loss distribution approach
In this paper, the author constructs a capital model for operational risk based on the observation that operational losses can, under a certain dimensional transformation, converge into a single, universal distribution.
Finma’s op risk ruling could set precedent, banks hope
Credit Suisse granted capital relief for divested business; others hope for clemency ahead of SMA