Standardized Measurement Approach for Operational risk: Pros and Cons

Gareth W. Peters (), Pavel V. Shevchenko (), Bertrand K. Hassani () and Ariane Chapelle ()
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Gareth W. Peters: Department of Statistical Sciences - University College London UK
Pavel V. Shevchenko: CSIRO Australia
Bertrand K. Hassani: Centre d'Economie de la Sorbonne, Grupo Santander, https://centredeconomiesorbonne.univ-paris1.fr
Ariane Chapelle: Department of Computer Science - University College London UK

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

Abstract: 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. The response addresses the Standardised Measurement Approach (SMA) proposed in the Basel Committee for Banking Supervision consultative document "Standardised Measurement Approach for operational risk" (issued in March 2016 for comments by 3 June 2016) [BCBSd355,2016]; and closely related Operational risk Capital-at-Risk (OpCar) model proposed in the Committee consultative document "Operational risk - revisions to the simpler approaches" October 2014 [BCBSd291]

Keywords: operational risk; standardized measurement approach; loss distribution approach; advanced measurement approach; Basel Committee for Banking Supervision regulations (search for similar items in EconPapers)
JEL-codes: C18 G21 G28 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2016-06
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:16064

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