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Forward-looking and Incentive-compatible Operational Risk Capital Framework

Marco Migueis

No 2017-087, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This paper proposes an alternative framework to set banks? operational risk capital, which allows for forward-looking assessments and limits gaming opportunities by relying on an incentive-compatible mechanism. This approach would improve upon the vulnerability to gaming of the AMA and the lack of risk-sensitivity of BCBS?s new standardized approach for operational risk.

Keywords: Banking Regulation; Incentive Compatibility; Operational Risk; Regulatory Capital (search for similar items in EconPapers)
JEL-codes: G21 G28 G32 (search for similar items in EconPapers)
Date: 2017-08-22, Revised 2018-08-07
New Economics Papers: this item is included in nep-ban, nep-cba and nep-cfn
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https://www.federalreserve.gov/econres/feds/files/2017087pap.pdf (Original) (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2017-87

DOI: 10.17016/FEDS.2017.087r1

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