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.

Click here to view

Adobe Acrobat PDF files
You will need Adobe Acrobat Reader to view this PDF. This software is available for free from the Adobe web site. Click on the image below to download a free copy.

Copyright statement
As a subscriber, the PDF you are about to view is made available for personal use only. Under the following terms you are granted permission to view online, print out, or store on your computer a single copy, provided this is intended for the benefit of the individual user. Should you wish to use multiple copies of this article, please contact Customer Services.

© Incisive Media Investments Ltd 2006. All rights reserved. No parts of this publication may be reproduced, stored in or introduced into any retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording or otherwise without the prior written permission of the copyright owners.

BaselAlert.com

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here