Banks aim to close op risk stress test capital gap
Standardising stress drivers could help smooth differences between bank loss estimates
A group of banks say a project that could help reduce the gap between different lenders’ estimates of operational risk losses under stress is starting to bear fruit. The estimates play a major role in determining how much capital banks must set aside against their exposures under regulatory stress-testing programmes.
The group is working on a project led by the American Bankers Association to standardise the way in which risk drivers are set for a variety of op risks, including the impact of a
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