![Risk.net](https://www.risk.net/sites/default/files/styles/print_logo/public/2018-09/print-logo.png?itok=1TpHrpuP)
Macquarie Bank next to issue Pillar III disclosure documents
A third Australian bank has published its disclosures required under Pillar III of Basel II
Under Pillar III of Basel II, all banks are required to disclose their risk management policies and framework in an annual document. In the first region to formally implement the Basel Accord, Australian banks are the first to issue such documents in accordance with the Australian Prudential Regulation Authority (APRA) requirements of Prudential Standard APS 330.
Macquarie received APRA approval for use of the advanced measurement approach (AMA) for assessing operational risk capital in December 2007. Its operational risk capital is calculated using a scenario-based approach together with statistical modelling of potential losses. Scenario estimates are then modelled to determine the operational risk component of regulatory capital Macquarie is required to hold. The bank uses Monte Carlo techniques to aggregate individual scenario distributions to determine a group-wide operational risk loss distribution.
The Australian bank allocates capital to individual businesses using quarterly scorecards. "This enables each business to understand its operational risk profile and the impact changes in its businesses make to that profile," the document reads. "The capital allocation effectively rewards positive risk behaviour and penalises increased risk. The scorecards measure changes in a number of key factors covering the size and complexity of the business, risk and control assessments, incident and exception management, and governance."
Macquarie does not use insurance in its AMA model for the purpose of operational risk capital reduction. Its operational risk regulatory requirement as at September 30, 2008 was $6,720 million.
Click here to access the document
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 print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Operational risk
Integrated GRC solutions 2024: market update and vendor landscape
In the face of persistent digitisation challenges and the attendant transformation in business practices, many firms have been struggling to maintain governance and business continuity
Vendor spotlight: Dixtior AML transaction monitoring solutions
The Chartis Research report, AML transaction monitoring solutions, considers how, by working together, financial institutions, vendors and regulators can create more effective anti-money laundering (AML) systems.
Financial crime and compliance50 2024
The detailed analysis for the Financial crime and compliance50 considers firms’ technological advances and strategic direction to provide a complete view of how market leaders are driving transformation in this sector
Automating regulatory compliance and reporting
Flaws in the regulation of the banking sector have been addressed initially by Basel III, implemented last year. Financial institutions can comply with capital and liquidity requirements in a natively integrated yet modular environment by utilising…
Investment banks: the future of risk control
This Risk.net survey report explores the current state of risk controls in investment banks, the challenges of effective engagement across the three lines of defence, and the opportunity to develop a more dynamic approach to first-line risk control
Op risk outlook 2022: the legal perspective
Christoph Kurth, partner of the global financial institutions leadership team at Baker McKenzie, discusses the key themes emerging from Risk.net’s Top 10 op risks 2022 survey and how financial firms can better manage and mitigate the impact of…
Emerging trends in op risk
Karen Man, partner and member of the global financial institutions leadership team at Baker McKenzie, discusses emerging op risks in the wake of the Covid‑19 pandemic, a rise in cyber attacks, concerns around conduct and culture, and the complexities of…
Moving targets: the new rules of conduct risk
How are capital markets firms adapting their approaches to monitoring and managing conduct risk following the Covid‑19 pandemic? In a Risk.net webinar in association with NICE Actimize, the panel discusses changing regulatory requirements, the essentials…