Standardized Measurement Approach for Operational risk

Pros and Cons

Gareth W. Peters, Pavel V. Shevchenko, Bertrand Hassani, Ariane Chapelle

Research output: Book/ReportCommissioned report

Abstract

This response has been put together by academics and in total independence of any corporate or individual interests. Our results are solely driven by scientific analysis and presented in the interest of the financial and business community, both the regulated entities and the regulators alike. The response addresses the Standardised Measurement Approach (SMA) proposed in the Basel Committee for Banking Supervision consultative document “Standardised Measurement Approach for operational risk” (issued in March 2016 for comments by 3 June 2016) [BCBSd355,2016]; and closely related Operational risk Capital-at-Risk (OpCar) model proposed in the Committee consultative document “Operational risk – revisions to the simpler approaches”, October 2014 [BCBSd291,2014].
Original languageEnglish
Place of PublicationBasel, Switzerland
PublisherBank for International Settlements
Commissioning bodyBasel Committee on Banking Supervision
Number of pages18
Publication statusPublished - 4 Jun 2016
Externally publishedYes

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Peters, G. W., Shevchenko, P. V., Hassani, B., & Chapelle, A. (2016). Standardized Measurement Approach for Operational risk: Pros and Cons. Basel, Switzerland: Bank for International Settlements.