Forward-looking and Incentive-compatible Operational Risk Capital Framework
No 2017-087, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)
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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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2017-87
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