Operational risk: A Basel II++ step before Basel III

Dominique Guegan () and Bertrand K. Hassani ()
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Dominique Guegan: Centre d'Economie de la Sorbonne, https://cv.archives-ouvertes.fr/dominique-guegan
Bertrand K. Hassani: BPCE et Centre d'Economie de la Sorbonne, https://centredeconomiesorbonne.cnrs.fr

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: Following Banking Committee on Banking Supervision, operational risk quantification is based on the Basel matrix which enables sorting incidents. In this paper, we deeply analyze these incidents and propose strategies for carrying out the supervisory guidelines proposed by the regulators. The objectives are as follows. On the first hand, banks need to provide a univariate capital charge for each cell of the Basel matrix. On the other hand, banks need also to provide a global capital charge corresponding to the whole matrix taking into account dependences. This paper proposes several solutions and attracts the regulators and managers attention on two crucial points: the granularity and the risk measures

Keywords: Operational risks; Loos Distribution Function; risk measures; EVT; Vine Copula (search for similar items in EconPapers)
JEL-codes: C18 (search for similar items in EconPapers)
Date: 2011-09, Revised 2012-03
New Economics Papers: this item is included in nep-ban, nep-cba and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Related works:
Working Paper: Operational risk: A Basel II++ step before Basel III (2012)
Working Paper: Operational risk: A Basel II++ step before Basel III (2012)
Working Paper: Operational risk: A Basel II++ step before Basel III (2011)
Working Paper: Operational risk: a Basel II++ step before Basel III (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:11053r

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