Standardized Measurement Approach for Operational risk: Pros and Cons

Gareth Peters (), Pavel Shevchenko (), Bertrand Hassani () and Ariane Chapelle ()
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Gareth Peters: Department of Statistical Sciences - UCL - University College of London [London]
Pavel Shevchenko: Department of Statistical Sciences - UCL - University College of London [London], CSIRO - Commonwealth Scientific and Industrial Research Organisation [Australia]
Bertrand Hassani: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Ariane Chapelle: Department of Computer Science - UCL - University College of London [London]

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: This response has been put together by academics and in total independence of any corporate or individual interests. Our results are solely driven by scientific analysis and presented in the interest of the financial and business community, both the regulated entities and the regulators alike. The response addresses the Standardised Measurement Approach (SMA) proposed in the Basel Committee for Banking Supervision consultative document "Standardised Measurement Approach for operational risk" (issued in March 2016 for comments by 3 June 2016) [BCBSd355,2016]; and closely related Operational risk Capital-at-Risk (OpCar) model proposed in the Committee consultative document "Operational risk - revisions to the simpler approaches" October 2014 [BCBSd291].

Keywords: operational risk; standardised measurement approach; loss distribution approach; advanced measurement approach; Basel Committee for Banking Supervision regulations (search for similar items in EconPapers)
Date: 2016-06
New Economics Papers: this item is included in nep-acc
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Published in 2016

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