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.
Basel turns its attention to operational resilience
New working group will focus on business continuity in the age of cyber threats
EU G-Sibs cut $14 billion in op risk
Banco Santander posted the largest decline – at 7% – with op RWAs falling to $70 billion
European banks junk op risk modelling
Barclays and BNP Paribas move to standardised approach in the second quarter
Top European banks shed $32 billion in op risk
5% average drop across 16 European banks reported quarter to quarter
Quants tout exposure-based approach to op risk modelling
Ebor especially suited to modelling loss events such as legal claims, say proponents
Problems remain with op risk standardised approach, say banks
US bill HR4296 could scupper US implementation of SMA, say op risk bankers
Citi’s CRO on the importance of risk sensitivity
Brad Hu talks modelling, CECL and setting risk culture
Op risk standard will hike capital by 11% – latest data
Rises in capital under SMA will vary depending on regulator treatment, writes op risk expert
An operational risk capital model based on the loss distribution approach
In this paper, the author constructs a capital model for operational risk based on the observation that operational losses can, under a certain dimensional transformation, converge into a single, universal distribution.
Finma’s op risk ruling could set precedent, banks hope
Credit Suisse granted capital relief for divested business; others hope for clemency ahead of SMA
Op risk capital: why US should adopt SMA today
No reason to delay roll-out of standardised approach, says TCH’s Greg Baer
Fed’s Curti: SMA will smooth capital mismatches
OpRisk North America: non-US banks holding less capital under own-models approach was “a big problem”, says regulator
UBS hoping for capital relief for past op risk losses
OpRisk North America: Swiss bank has taken action to prevent a repeat of costly missteps
Not the top 10 op risks
From gender discrimination to the next PPI, a veteran manager looks at forthcoming potential op risks
Top 10 op risks 2018: model risk
Model risk re-enters top 10 amid avalanche of validation regulations
Top 10 op risks 2018: regulatory risk
Fed’s cease-and-desist order against Wells Fargo spooks market
Pillar 2 moves to centre stage for op risk capital
US banks set for sharp falls in Pillar 1 requirements, but regulator-set add-ons cloud SMA’s impact
Op risk modelling to survive move to SMA
Models will still be needed to measure forward-looking risks under Pillar 2
JP, Citi may not see capital benefit from new op risk rules
Collins floor may also prevent Morgan Stanley, State Street and Wells Fargo from realising SMA savings
Chinese megabanks set to lose out in switch to SMA
Bank of China, ICBC likely to see lower reductions in operational risk capital due to reliance on interest income
Basel op risk modelling blow shifts focus to Pillar 2
Demise of AMA leaves industry needing risk-sensitive approach for calculating top-up capital, says consultant
Revised Basel output floor could hit US banks after all
Fall in operational risk weights could push up capital requirements for market and credit risk
Apac banks dodge op risk capital hit from new rules
Chinese lenders have largest capital requirements in region; banks expect muted increase on average
Basel III: final op risk framework leaves banks guessing
Analysis suggests big capital savings on average, but uncertainty persists over uneven implementation