Advanced measurement approach (AMA)
Framework developed for German banks
BONN, GERMANY - Many of Germany's banks have been somewhat slow to prepare their operational risk management framework for the new international bank capital accord, Basel II, and the prospective European Union (EU) Capital Adequacy Directive (Cad).
CP3 Alert
CP3 Alert covers the most significant changes incorporated into CP3 by the Basel Committee, including alterations to the sections on securitization, operational risk, residential mortgages, credit derivatives, and the supervisory and public disclosure…
Landesbanken to offer credit loss database to third parties
Three of Germany's largest Landesbanken and the consultancy BearingPoint are planning to bring a credit loss database (CLD) that they are developing jointly to the market in the second half of this year. The tool is being designed to comply with the new…
Debate and controversy mark Op Risk 2003 events
Delegates at the fifth annual Operational Risk and Risk magazine operational risk conferences in London and New York this March were treated to what one speaker described as a "smorgasboard" of discussions on the subject. Attendees could choose from…
Quantifying the op risk in investment fund valuation
Fund management is often forgotten in the wider push towards quantitative operational risk management. Here, François Longin and Gautier Martin take a closer look at the operational risk that accompanies fund valuation.
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…