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The Modelling of Operational Risk: Experience With the Analysis of the Data Collected by the Basel Committee
Company: Banca d'Italia
Company Url: Click here to open
Year Of Publication: 2004
Month Of Publication: July
Pages: 74
Download Count: 1249
View Count: 8115
Comment Num: 0
Language: EN
Source: working paper
Who Can Read: Free
Date: 6-18-2004
Publisher: Administrator
Summary
The revised Basel Capital Accord requires banks to meet a capital requirement for operational risk as part of an overall risk-based capital framework. Three distinct options for calculating operational risk charges are proposed (Basic Approach, Standardised Approach, Advanced Measurement Approaches), reflecting increasing levels of risk sensitivity. Since 2001, the Risk Management Group of the Basel Committee has been performing specific surveys of banks’ operational loss data, with the main purpose of obtaining information on the industry’s operational risk experience, to be used for the refinement of the capital framework and for the calibration of the regulatory coefficients. The second loss data collection was launched in the summer of 2002: the 89 banks participating in the exercise provided the Group with more than 47,000 observations, grouped by eight standardised Business Lines and seven Event Types. A summary of the data collected, which focuses on the description of the range of individual gross loss amounts and of the distribution of the banks’ losses across the business lines/event types, was returned to the industry in March 2003. The objective of this paper is to move forward with respect to that document, by illustrating the methodologies and the outcomes of the inferential analysis carried out on the data collected through 2002. To this end, once the individual banks’ losses are pooled according to a Business Line criterion, the operational riskiness of each B
Author(s)
Moscadelli, Marco Sign in to follow this author
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