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Revisions to Operational Risk

  • Ioannis Akkizidis
  • Lampros Kalyvas
Chapter

Abstract

Chapter  8 describes the current operational risk framework, the final specifications of the proposed standardised measurement approach (SMA) for its estimation under the final Basel III (BCBS, Basel III: Finalising post-crisis reforms—Standards, 2017), and their comparison with the initial proposals for the SMA (BCBS, 2016b).

Within the description of SMA methodology, Chap.  8 compares the core SMA proposals with the alternative specifications proposed by the authors. Also, the chapter presents the interaction between the business indicator component and the internal loss multiplier and infers the sensitivity of how banks’ operational risk requirements are affected by the new framework.

References

  1. Basel Committee on Banking Supervision (BCBS). (2001, January). Operational risk – Consultative document. Retrieved from https://www.bis.org/publ/bcbsca07.pdf
  2. Basel Committee on Banking Supervision (BCBS). (2006, June). Basel II: International convergence of capital measurement and capital standards: A revised framework – Comprehensive version. Retrieved from http://www.bis.org/publ/bcbs128.pdf
  3. Basel Committee on Banking Supervision (BCBS). (2011, June). Principles for the sound management of operational risk. Retrieved from http://www.bis.org/publ/bcbs195.pdf
  4. Basel Committee on Banking Supervision (BCBS). (2016, March). Standardised measurement approach for operational risk – Consultative document. Retrieved from http://www.bis.org/bcbs/publ/d355.pdf
  5. Basel Committee on Banking Supervision (BCBS). (2017, December). Basel III: Finalising post-crisis reforms – Standards. Retrieved December 7, 2017, from https://www.bis.org/bcbs/publ/d424.pdf
  6. Embrechts, P. (Ed.). (2000). Extremes and integrated risk management. London: RiskBooks.Google Scholar
  7. Fisher, R. A., & Tippett, L. H. C. (1928). Limiting forms of the frequency distribution of the largest and smallest member of the sample. Proceedings of the Cambridge Philosophical Society, 24, 180–190.CrossRefGoogle Scholar
  8. Moosa, I. A. (2007). Operational risk management. London: Palgrave Macmillan.CrossRefGoogle Scholar

Copyright information

© The Author(s) 2018

Authors and Affiliations

  • Ioannis Akkizidis
    • 1
  • Lampros Kalyvas
    • 2
  1. 1.Employed by Wolters KluwerZurichSwitzerland
  2. 2.Employed by European Banking AuthorityLondonUK

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