An advanced model for op risk capital calculation

The Basel II regulators need to develop a comprehensive approach to op risk modelling, says Tony Blunden in his final article on the new capital accord.

Global banking regulators should consider an advanced method of using three sets of risk data - self assessment, internal key indicators and external losses - to develop a comprehensive operational risk model approach.

I have argued that the single model for using internal data for op risk capital calculations proposed in Basel II, the new capital adequacy accord for regulating large international banks from 2004, does not recognise the process already used by many institutions for reviewing

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