Is there hope in the advanced measurement approaches?
Basle II is mistaken in assuming a stable relationship between expected and unexpected losses, argues Jacques Pézier in his second article on the Basle Committee’s recent operational risk working paper
The carrot of lower operational risk capital charges under the proposed Basle II bank capital accord is promised only to those banks using an advanced measurement approach for calculating these charges.
Major banks may be allowed to reduce their overall op risk charge to a floor of 9% of the current
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