Should the Advanced Measurement Approach for Operational Risk be Discarded? Evidence from the Chinese Banking Industry

Xiaoqian Zhu (), Jianping Li and Dengsheng Wu ()
Additional contact information
Xiaoqian Zhu: Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190, P. R. China
Dengsheng Wu: Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190, P. R. China

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2019, vol. 22, issue 01, 1-15

Abstract: The Basel Committee on Banking Supervision (BCBS) states that in addition to the fact that it lacks simplicity, the Advanced Measurement Approach (AMA) must be discarded because the flexibility of AMAs does not narrow as envisioned prior. This paper discusses whether this judgment of the BCBS holds for the Chinese banking industry. We first review the development of operational risk data collection and AMAs in China over the past decade. Then, capital requirement results for Chinese banks based on these datasets and approaches are summarized and analyzed. It is shown that along with the accumulation of operational risk data and the refinement of AMAs, operational risk results for the Chinese banking industry have shown a clear trend of convergence that is exactly opposed to judgments of the BCBS. Therefore, the removal of the AMA from regulatory frameworks may not be reasonable.

Keywords: Bank risk management; operational risk modeling; risk measurement; standardized measurement approach; advanced measurement approach (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219091519500073
Access to full text is restricted to subscribers

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:wsi:rpbfmp:v:22:y:2019:i:01:n:s0219091519500073

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219091519500073

Access Statistics for this article

Review of Pacific Basin Financial Markets and Policies (RPBFMP) is currently edited by Cheng-few Lee

More articles in Review of Pacific Basin Financial Markets and Policies (RPBFMP) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().