Basel II: operation risk measurement in the Portuguese banking sector
Gualter Couto () and
Kevin Medeiros Bulhões ()
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Gualter Couto: Department of Economics and Management, and CEEAplA, University of the Azores, Portugal
Kevin Medeiros Bulhões: N/A
Portuguese Journal of Management Studies, 2009, vol. XIV, issue 3, 259-278
The present work focuses on one of the principal themes associated to the New Basel Accord – operational risk and its respective methodologies for calculating minimum capital requirements. The new capital accord encourages financial institutions to gradually evolve from basic to sophisticated methodologies. Institutions applying sophisticated methods will be rewarded with deductions on capital allocated when calculating the capital ratio. The methodologies related to operational risk will be applied to a group of national banking institutions. These methodologies are referred to in Pillar I of the new capital accord: (i) basic indicator approach, (ii) the standardized approach and (iii) the alternative standardized approach. The purpose of this practical application is to evaluate and quantify the impact on several national banks of the different approaches linked to operational risk, introduced by Basel II.
Keywords: Basel II; Operational Risk; Regulatory Capital and Economic Capital (search for similar items in EconPapers)
JEL-codes: G14 G21 G28 G32 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:pjm:journl:v:xiv:y:2009:i:3:p:259-278
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