Modèles de mesure du risque opérationnel: quelle convergence dans les banques ?

Duc Pham-Hi

Revue d'Économie Financière, 2006, vol. 84, issue 3, 25-45

Abstract: [fre] Les grands groupes bancaires ont investi dans la construction de modèles pratiques permettant de mesurer l’étendue du risque opérationnel dans le respect des orientations de l’Accord Bâle II. Des facteurs historiques et techniques ont d’abord entraîné des divergences dans la conception même de ces modèles, mais les difficultés et contraintes pratiques induisent actuellement une convergence des architectures et des modes de calcul. L’examen en détail des mises en oeuvre révèle encore de nombreuses différences qui compliquent la tâche des superviseurs nationaux. . Classification JEL : G21, G28, K23 [eng] Advanced Measurement Approach models of operational risk : a major task for banks . Building Advanced Measurement Approach models of operational risk has been a major task for banks seeking to comply with Basel II these last three years. Because of the elusive nature of operational risk, scarce loss data, loose qualitative inputs, a plethora of statistical functions to try out and also because any model must be supported by its organizational and managerial counterpart, banks have been confronted at first with too many diverging choices. Gradually, as regulatory constraints made themselves felt, and the difficulties of keeping different components consistent with each other, general architectural and computational options have narrowed down to a few, apparently reliable choices. Today, though technical level components still reflect idiosyncratic development paths, banks op risk approach offer more comparability. . JEL classification : G21, G28, K23

Date: 2006
Note: DOI:10.3406/ecofi.2006.4114
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