Showing 1 - 10 of 19
Persistent link: https://www.econbiz.de/10011718562
Recently, Basel Committee for Banking Supervision proposed to replace all approaches, including Advanced Measurement Approach (AMA), for operational risk capital with a simple formula referred to as the Standardised Measurement Approach (SMA). This paper discusses and studies the weaknesses and...
Persistent link: https://www.econbiz.de/10012989980
Persistent link: https://www.econbiz.de/10013177152
Persistent link: https://www.econbiz.de/10011996008
Cover -- Title Page -- Copyright -- Contents -- About the Author -- Foreword -- Preface -- Introduction -- Part One Risk Identification -- Chapter 1 Risk Identification Tools -- Top-Down and Bottom-Up Risk Identification -- Exposure and Vulnerabilities -- The Risk Wheel -- The Root Causes of...
Persistent link: https://www.econbiz.de/10011953419
This response has been put together by academics and in total independence of any corporate or individual interests. Our results are solely driven by scientific analysis and presented in the interest of the financial and business community, both the regulated entities and the regulators alike....
Persistent link: https://www.econbiz.de/10012989976
This paper proposes a methodology to analyze the implications of the Advanced Measurement Approach (AMA) for the assessment of operational risk put forward by the Basel II Accord. The methodology relies on an integrated procedure for the construction of the distribution of aggregate losses,...
Persistent link: https://www.econbiz.de/10013137098
Persistent link: https://www.econbiz.de/10003733820
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilized to undertake capital estimation. It has however become well accepted to utilize a Loss Distributional Approach (LDA) paradigm to model...
Persistent link: https://www.econbiz.de/10011046657