Advanced measurement approach (AMA)
Comments on the Basel Committee on Banking Supervision proposal for a new standardized approach for operational risk
In this paper, the behavior of the SMA is studied under a variety of hypothetical and realistic conditions, showing that the simplicity of the new approach is very costly.
Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?
This paper discusses and studies the weaknesses and pitfalls of the SMA and the implicit relationship between the SMA capital model and systemic risk in the banking sector.
Firms aim to convince Basel on merits of op risk insurance
Lack of recognition in new SMA capital charge could cause market to shrink, worry insurers
Risk managers wary of op risk securitisation
Sfr270 million transaction by Credit Suisse and Zurich thought unlikely to be copied due to SMA
Bank size and tail losses skewing SMA calculation
Op risk researchers criticise logic of planned new capital method
Even for me, AMA models are too complicated
The AMA doesn’t make any sense – but the idea of a single, simple equation does, writes Ruben Cohen
Banks told to seize moment to devise new op risk charge
Banks should “get clever and develop their own model” in response to SMA, says UK bank risk manager
Regulator of the year: Australian Prudential Regulation Authority
Apra wins praise for pushing business case for op risk modelling and scenario analysis
Paper of the year: PJ de Jongh, Tertius de Wet, Kevin Panman and Helgard Raubenheimer
South African academics pioneer a quick and easy way of estimating op risk capital
Fed paper stirs debate on new operational risk charge
Researchers offer academic justification for Basel's standardised measurement approach
How to turn uncertainties of operational risk capital into opportunities from a risk management perspective
Going beyond the regulatory requirements to operational risk measurement, the authors of this paper aim to provide relevant business applications to a bank.
Weighing criticism of the SMA reveals a lack of balance
Operational risk managers are becoming unusually excitable, with some justification
Basel’s Adachi: banks may discard some loss data under SMA
Losses from discontinued businesses may not count towards op risk capital
Research on loss data backs up new Basel op risk charge
Study finds op risk losses can be scaled in the same way as tests on engineering models
Euro banks to bear brunt of €115bn SMA capital hike: study
"You will get some winners and some losers, but with this it's mostly losers," says ORX's Carrivick
SMA proposal fires up op risk managers
Banks say backward-looking SMA is easily gamed and will lead to high and volatile capital charges
In operational risk, the future ain’t what it used to be
Just because we can't measure op risk accurately doesn't mean we should give up, argues Peter Sime
Correlation of op risk losses could send capital soaring
BB&T auditor's model shows capital measured by LDA might be pushed up by 16–55%
Isda chair on twin threats facing OTC market
Capital a “sword of Damocles”, says Litvack; cleaner CSAs will fix valuation woes
European banks face steep op risk capital hike from SMA
Op risk accounts for 28% of US banks’ RWAs, compared with 12% at European banks
Discarding the AMA could become a source of op risk
Basel Committee's "tantrum-like reaction" is not supported by evidence, say practitioners
Conference hears fierce criticism of Basel op risk plans
Op risk professionals pour scorn on SMA charge, but some bank experts speak out in favour
Op risk models still needed despite SMA, says regulator
Models “play an important role in quantifying risk”, says OCC's Beth Dugan
Basel op risk plans 'not fit for purpose', say banks
SMA expected to raise capital charges, but lower standards in risk management