Basel II: operation risk measurement in the Portuguese banking sector

Gualter Couto () and Kevin Medeiros Bulhões ()
Additional contact information
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

Abstract: 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)
Date: 2009
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ejms.iseg.ulisboa.pt/files/2009-BaselII-op ... e_banking_sector.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pjm:journl:v:xiv:y:2009:i:3:p:259-278

Access Statistics for this article

Portuguese Journal of Management Studies is currently edited by Luís Mota de Castro, Tiago Cardão-Pito, Mark Crathorne

More articles in Portuguese Journal of Management Studies from ISEG, Universidade de Lisboa Contact information at EDIRC.
Bibliographic data for series maintained by Luís Mota de Castro, Tiago Cardão-Pito, Mark Crathorne ().