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A better approach to operational risk aggregation
Professor Carol Alexander proposes an aggregation methodology that takes account of dependencies between op risk losses that have some common risk drivers.
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…
Is there hope in the advanced measurement approaches?
Basel II is mistaken in assuming a stable relationship between expected and unexpected losses, argues Jacques Pézier in his second article on the Basel Committee’s recent operational risk working paper.
Advanced measurement approaches
The September working paper on operational risk from the Basel Committee on Banking Supervision confirmed that global banking regulators are looking at a range of advanced ways of calculating op risk capital charges instead of a single method.
Data trouble
Regulators insist that they want a capital charge on banks’ operational risks. But the plan rests on the ability of banks to collect data and model the risks involved, and there’s a frightening lack of agreement on how to do that.
Could do better
David Rowe argues that the Basel Committee can provide better incentives for improved operational risk management than those implicit in the draft revision to the capital Accord.
Banks face challenge assessing benefits of Basel II op risk approaches, says Andersen
Calculating the benefit for banks of adopting the more complex methods of arriving at an operational risk capital charge is very challenging because of uncertainties over the factors involved.
Basel discussion document will centre on internal measurement approach
Global banking regulators intend to issue in June or July a special discussion document on operational risk in the context of Basel II, the new capital adequacy accord proposed for large international banks from 2004.
EU anticipates critics in its Op Risk charge proposals
While debates still rumble on over the new Basel capital accord, the European Union Commission's capital adequacy rules are prompting another set of arguments.
Regulators may issue Basel II discussion document in response to banker fears
Global banking regulators are likely to issue an interim discussion document in June or July on their proposals for a new bank capital accord, in a response to banker concerns about the complexity of those plans.
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