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.
Banks await Basel decision on legacy op risk losses
European banks could see big jump in capital if losses from legacy businesses are included in SMA
Standardized measurement approach extension to integrate insurance deduction into operational risk capital requirement
The SMA proposed in BCBS (2016) presents several issues: in particular, its two components are not sufficient to discriminate banking institutions by risk profile, thus penalizing the more virtuous ones. This paper describes a possible solution to extend…
How to save op risk modelling
Drop loss categories and correlations and adopt simple loss distribution, advises AMA expert
JP Morgan’s CRO on the bank’s six buckets of risk
Risk30: From loan losses to electromagnetic pulses, JPMorgan Chase has a place for it
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.
Capital rules may be too risk-sensitive, Basel fears
Complexity is slowing roll-out of standards, says Basel Committee deputy
SMA: the story so far
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.
Op risk capital fight a limp political thriller
Battle to replace AMA with non-models approach was beset by nationalistic squabbles
U-turn on SMA comparability sparks anger
Three regulators echo bank dismay as key principle of op risk capital framework is abandoned
Op risk managers not sold on SMA alternative
Proposed forward-looking approach would permit internal modelling, but penalise banks if losses exceed estimates
OpRisk Europe and North America wrap: cyber, 3LOD and the SMA
Future of op risk modelling a hot topic at conference, along with evolving three lines of defence framework
Revised SMA could allow banks to ignore past op risk losses
Leaked proposals say loss component will be left to national regulators, threatening an unlevel playing field
Don’t let the SMA kill op risk modelling
The SMA is not a good response to the AMA’s failings – but don’t throw the baby out with the bathwater
Memo to bank CEOs: treat op risk with more respect
High-profile critics of op risk capital rules are misguided, say Ariane Chapelle and Evan Sekeris
Scrap ‘absurd’ op risk RWA framework, says Sands
Ex-StanChart chief exec advocates replacing current op risk capital framework with regulator-set buffer
New Basel delay throws SMA into doubt
Revised op risk capital framework unlikely to be implemented uniformly, even when a deal is agreed, bankers say
Standardized measurement approach: is comparability attainable?
This paper considers the claim of improved comparability of SMA outcomes by considering the ability to compare “internal loss experience” between banks.
SMA data shortfalls ‘make op risk review a must’
New research adds to criticism of proposed op risk capital method
Fed economist advocates combining internal models with SMA
SMA could act as a floor for calculating op risk RWAs, suggests Filippo Curti
The death of one thousand flowers or the AMA reborn?
The author of this paper explores the reasons for the pending demise of the advanced measurement approach (AMA) to operational risk.
Operational risk modelling – finally?
Sponsored feature: Elseware
Deutsche Bank faces op risk capital hit from DoJ fine
Bump to operational risk capital under SMA could be bigger than expected, experts warn
Can the AMA be reborn?
Regulators could rescue op risk modelling through Pillar 2, writes former supervisor