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Consistent Quantitative Operational Risk Measurement and Regulation :, Challenges of Model Specification, Data Collection and Loss Reporting, Andreas Jobst

Abstract
Amid increased size and complexity of the banking industry, operational risk has a greater potential to transpire in more harmful ways than many other sources of risk. This paper provides a succinct overview of the current regulatory framework of operational risk under the New Basel Capital Accord with a view to inform a critical debate about the influence of varying loss profiles and different methods of data collection, loss reporting, and model specification on the reliability of operational risk estimates and the consistency of risk-sensitive capital rules. The presented findings offer guidance on enhanced market practice and more effective prudential standards for operational risk measurement
Table Of Contents
Contents; I. Introduction; II. Current Practices of Operational Risk Measurement and Regulatory Approaches; Boxes; 1. Operational Risk Management (ORM); 2. The Evolution of the Advanced Capital Adequacy Framework for Operational Risk; III. The Main Measurement Challenges of Loss Distribution Approach (LDA); A. Shortcomings of Quantitative Estimation Methodologies for LDA; B. Shortcomings of LDA Caused by Data Collection-ORM Systems and Data Characteristics; 3. Regulatory Inconsistencies of the New Basel Capital Accord; IV. Conclusion; References; Figures
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (46 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781462381043

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