Paper on scenario analysis to maintain AMA under Basel II published

Written by Patrick McConnell and Martin Davies, a new report suggests using scenario analysis to support a firm’s advanced measurement approach (AMA). The paper proposes a structured approach to scenario analysis for Basel II, based on concepts proven in other industries, specifically the concept of safety management.

The paper particularly advocates using a ‘bow-tie diagram’, and details how such an approach can be used to satisfy the requirements of Basel II. Click here to see a copy of the report.

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