LDCE results show risk sensitivity in US banks, says Rosengren
NEW YORK – Initial results of the loss data collection exercise (LDCE) show that US Basel II banks are holding operational risk capital that is proportional to their losses, according to Eric Rosengren, senior vice-president at the Federal Reserve Bank of Boston.
"The results seem to be risk-sensitive, as banks with more operational losses are holding more capital for operational risk. Business lines with higher frequency losses than a certain threshold also seem to be holding more capital," said Rosengren at the OpRiskUSA conference held in early April in New York.
He said it is encouraging that although banks used different models to measure their operational risks, the results were surprisingly similar. "What seems to differ is how frequently these
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