Analysis suggests big capital savings on average, but uncertainty persists over uneven implementation
Capital hit for G-Sibs ranges from 28% drop to 43% jump, QIS reveals
European banks could see big jump in capital if losses from legacy businesses are included in SMA
Standardized measurement approach extension to integrate insurance deduction into operational risk capital requirement
The SMA proposed in BCBS (2016) presents several issues: in particular, its two components are not sufficient to discriminate banking institutions by risk profile, thus penalizing the more virtuous ones. This paper describes a possible solution to extend…
Drop loss categories and correlations and adopt simple loss distribution, advises AMA expert
Risk30: From loan losses to electromagnetic pulses, JPMorgan Chase has a place for it
A note on the standard measurement approach versus the loss distribution approach–advanced measurement approach: the dawning of a new regulation
This paper presents a nonexhaustive review of the literature on operational risk quantification under a combination of the loss distribution approach model – the most commonly used of the AMA models – and extreme value theory.
Complexity is slowing roll-out of standards, says Basel Committee deputy
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.
Battle to replace AMA with non-models approach was beset by nationalistic squabbles
Three regulators echo bank dismay as key principle of op risk capital framework is abandoned
Proposed forward-looking approach would permit internal modelling, but penalise banks if losses exceed estimates
Future of op risk modelling a hot topic at conference, along with evolving three lines of defence framework
Leaked proposals say loss component will be left to national regulators, threatening an unlevel playing field
The SMA is not a good response to the AMA’s failings – but don’t throw the baby out with the bathwater
High-profile critics of op risk capital rules are misguided, say Ariane Chapelle and Evan Sekeris
Ex-StanChart chief exec advocates replacing current op risk capital framework with regulator-set buffer
Revised op risk capital framework unlikely to be implemented uniformly, even when a deal is agreed, bankers say
This paper considers the claim of improved comparability of SMA outcomes by considering the ability to compare “internal loss experience” between banks.
New research adds to criticism of proposed op risk capital method
SMA could act as a floor for calculating op risk RWAs, suggests Filippo Curti
The author of this paper explores the reasons for the pending demise of the advanced measurement approach (AMA) to operational risk.
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