Capital allocation for operational risk

Michael Brunner, Fabio Piacenza, Fabio Monti and Davide Bazzarello

Journal of Risk Management in Financial Institutions, 2009, vol. 2, issue 2, 165-174

Abstract: The allocation of consolidated operational risk capital to different business units or legal entities is a problem that up to now has not received widespread investigation. Nevertheless, this is an important problem, as the Basel II regulation and its annotations stress a number of demands for the allocation of operational risk capital in lieu of standalone calculations for all legal entities within banking groups. This paper presents a simple, yet statistically sound, framework to help cope with the technical requirements of the regulatory context.

Keywords: capital allocation; operational risk; loss distribution approach; Basel (search for similar items in EconPapers)
JEL-codes: E5 G2 (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:aza:rmfi00:y:2009:v:2:i:2:p:165-174

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