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Consistent Quantitative Operational Risk Measurement and Regulation: Challenges of Model Specificati
Company: International Monetary Fund
Company Url: Click here to open
Year Of Publication: 2007
Month Of Publication: November
Pages: 46
Download Count: 306
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 11-24-2007
Publisher: Administrator
Summary
Amid increased size and complexity of the banking industry, operational risk has a greater potential to transpirein more harmful ways than many other sources of risk. This paper provides a succinct overview of the currentregulatory framework of operational risk under the New Basel Capital Accord with a view to inform a criticaldebate about the influence of varying loss profiles and different methods of data collection, loss reporting, andmodel specification on the reliability of operational risk estimates and the consistency of risk-sensitive capitalrules. The presented findings offer guidance on enhanced market practice and more effective prudentialstandards for operational risk measurement.
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Jobst, Andreas Sign in to follow this author
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