Advanced measurement approach (AMA)
Fast, accurate and straightforward extreme quantiles of compound loss distributions
In this paper, the author presents an easy-to-implement, fast and accurate method for approximating extreme quantiles of compound loss distributions (frequency + severity), which are commonly used in insurance and operational risk capital models.
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
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
Cluster model relies on op risk ‘storms’
Capital models should reflect loss grouping – research
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
HSBC shakes up risk analytics team
Internal memo attributes changes to increased demand for analytics
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
Basel still pushing for capital model floors
Bank treasurers call plan to underpin internal models with standardised floors “unmanageable”
Op risk family tree challenges Basel’s business line focus
Cladistic analysis shows importance of control failure, crime and fraud
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.
Optimal B-robust posterior distributions for operational risk
The aim of this paper is to integrate prior information into a robust parameter estimation via OBR-estimating functions.
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
Tweaks to standard op risk method not enough, experts warn
Basel Committee to integrate insurance and divestitures, but SMA still lacks forward-looking approach
Custom models work better for op risks, research finds
Bayesian approach touted for mis-selling and other management failures
Two-regime approach saves up to 30% op risk capital
Modelling shift to 'crisis mode' mitigates pro-cyclical calculations
An assessment of operational loss data and its implications for risk capital modeling
The author of this paper assesses operational loss data and its implications for risk capital modeling.