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Economic Capital Gauged
Company: Oxford University
Company Url: Click here to open
Year Of Publication: 2004
Month Of Publication: June
Pages: 42
Download Count: 746
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 3-12-2005
Publisher: Administrator
Summary
The Basel Committee’s release of the new Basel Accord and its new operationalrisk class are raising questions on how regulatory capital for operational risk should bedetermined and is transforming the banks’ view of economic capital. This paper investigatesthe relationship between publicly available economic capital - and regulatory capital figuresfrom 2002 and 2003, and compares these with figures from the Basel Committee’sQuantitative Impact Studies. The focus will be constrained to top 50 internationally activebanks. Initially, many if not most banks will be using the simplest regulatory method, the BasicIndicator Approach, to calculate the operational risk capital charge. Hence, the Basic IndicatorApproach is applied in order to study the impact of different definitions of gross incomeresulting in different levels of operational risk capital charges. Finally, the comprehensivenessof year-end economic capital disclosure in 2002 and 2003 annual reports of the top 50 banksis examined to reflect the considerable evolutionary change that the banking industry isundergoi
Author(s)
Berg-Yuen, Pia E K Sign in to follow this author
Medova, Elena Sign in to follow this author
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