European banks junk op risk modelling
Barclays and BNP Paribas move to standardised approach in the second quarter
The share of European banks’ operational risk calculated using internal models is shrinking as big firms abandon the soon-to-be-retired advanced measurement approach (AMA).
Of the €64 billion in total operational risk capital held by the 22 largest European banks at end-June, 36% was generated using the AMA and 63% using the regulator-set standardised approach.
Barclays and BNP Paribas dumped the AMA in its entirety in the first half of the year, resulting in some €9.6 billion of op risk that
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