475:. With LDA, a bank first segments operational losses into homogeneous segments, called units of measure (UoMs). For each unit of measure, the bank then constructs a loss distribution that represents its expectation of total losses that can materialize in a one-year horizon. Given that data sufficiency is a major challenge for the industry, annual loss distribution cannot be built directly using annual loss figures. Instead, a bank will develop a frequency distribution that describes the number of loss events in a given year, and a severity distribution that describes the loss amount of a single loss event. The frequency and severity distributions are assumed to be independent. The convolution of these two distributions then give rise to the (annual) loss distribution.
349:
670:
665:
435:
Under AMA the banks are allowed to develop their own empirical model to quantify required capital for operational risk. Banks can use this approach only subject to approval from their local regulators. Once a bank has been approved to adopt AMA, it cannot revert to a simpler approach without
462:
According to the BCBS Supervisory
Guidelines, an AMA framework must include the use of four data elements: (i) Internal loss data (ILD), (ii) External data (ED), (iii) Scenario analysis (SBA), and (iv) Business environment and internal control factors (BEICFs).
584:
649:
Basel II: International
Convergence of Capital Measurement and Capital Standards: a Revised Framework, Comprehensive Version (BCBS) (June 2006 Revision)
439:
Also, according to section 664 of original Basel Accord, in order to qualify for use of the AMA a bank must satisfy its supervisor that, at a minimum:
187:
471:
While AMA does not specify the use of any particular modeling technique, one of the most common approaches taken in the banking industry is the
165:
604:
643:
Basel II: International
Convergence of Capital Measurement and Capital Standards: a Revised Framework (BCBS) (November 2005 Revision)
330:
70:
499:
429:
248:
214:
65:
30:
655:
Operational Risk - Supervisory
Guidelines for the Advanced Measurement Approaches - final document (BCBS) (June 2011 Revision)
432:. The methods (or approaches) increase in sophistication and risk sensitivity with AMA being the most advanced of the three.
453:
It has sufficient resources in the use of the approach in the major business lines as well as the control and audit areas.
715:
209:
160:
392:
370:
363:
749:
450:
It has an operational risk management system that is conceptually sound and is implemented with integrity; and
323:
306:
637:
Basel II: International
Convergence of Capital Measurement and Capital Standards: a Revised Framework (BCBS)
443:
Its board of directors and senior management, as appropriate, are actively involved in the oversight of the
739:
444:
221:
689:
744:
585:"Using a time series approach to correct serial correlation in Operational Risk capital calculation"
529:
489:
425:
357:
316:
243:
197:
60:
55:
519:
Frachot, A.; Georges, P.; Roncalli, T. (2001). "Loss
Distribution Approach for Operational Risk".
708:
524:
374:
133:
297:
421:
8:
754:
182:
128:
701:
542:
734:
546:
138:
596:
534:
494:
413:
271:
238:
561:
112:
99:
94:
685:
276:
170:
148:
143:
728:
35:
231:
226:
175:
103:
600:
669:
538:
204:
155:
281:
652:
646:
640:
634:
681:
628:
50:
664:
484:
417:
45:
90:
40:
677:
108:
631:
Basel II: Revised international capital framework (BCBS)
562:"Operational risk: A Basel II++ step before Basel III"
518:
566:
Journal of Risk
Management in Financial Institutions
726:
709:
582:
559:
466:
324:
22:International regulatory standards for banks
716:
702:
331:
317:
528:
457:
393:Learn how and when to remove this message
500:Standardized approach (operational risk)
356:This article includes a list of general
727:
31:Basel Committee on Banking Supervision
659:
342:
653:http://www.bis.org/publ/bcbs196.htm
647:http://www.bis.org/publ/bcbs128.pdf
641:http://www.bis.org/publ/bcbs118.htm
635:http://www.bis.org/publ/bcbs107.htm
13:
629:http://www.bis.org/publ/bcbsca.htm
583:Guégan, D.; Hassani, B.K. (2013).
560:Guégan, D.; Hassani, B.K. (2012).
362:it lacks sufficient corresponding
14:
766:
668:
663:
473:loss distribution approach (LDA)
347:
416:methods that can be used under
576:
553:
512:
1:
505:
406:Advanced measurement approach
307:Business and Economics Portal
688:. You can help Knowledge by
264:Pillar 2: Supervisory review
121:Pillar 1: Regulatory capital
7:
589:Journal of Operational Risk
478:
445:operational risk management
412:) is one of three possible
290:Pillar 3: Market disclosure
10:
771:
658:
467:Loss distribution approach
424:. The other two are the
490:Basic indicator approach
426:Basic Indicator Approach
377:more precise citations.
750:Management cybernetics
684:-related article is a
458:The four data elements
436:supervisory approval.
601:10.21314/JOP.2013.126
430:Standardised Approach
422:financial institution
539:10.2139/ssrn.1032523
521:GRO, Crédit Lyonnais
740:Capital requirement
420:by a bank or other
129:Capital requirement
697:
696:
403:
402:
395:
341:
340:
23:
762:
745:Operational risk
718:
711:
704:
672:
667:
660:
623:BIS publications
616:
615:
613:
612:
603:. Archived from
580:
574:
573:
557:
551:
550:
532:
516:
495:Operational risk
414:operational risk
398:
391:
387:
384:
378:
373:this article by
364:inline citations
351:
350:
343:
333:
326:
319:
272:Economic capital
239:Operational risk
21:
19:Basel Framework
16:
15:
770:
769:
765:
764:
763:
761:
760:
759:
725:
724:
723:
722:
620:
619:
610:
608:
581:
577:
558:
554:
530:10.1.1.636.8805
517:
513:
508:
481:
469:
460:
399:
388:
382:
379:
369:Please help to
368:
352:
348:
337:
113:Risk management
100:Monetary policy
20:
12:
11:
5:
768:
758:
757:
752:
747:
742:
737:
721:
720:
713:
706:
698:
695:
694:
673:
657:
656:
650:
644:
638:
632:
618:
617:
575:
552:
510:
509:
507:
504:
503:
502:
497:
492:
487:
480:
477:
468:
465:
459:
456:
455:
454:
451:
448:
401:
400:
383:September 2014
355:
353:
346:
339:
338:
336:
335:
328:
321:
313:
310:
309:
303:
302:
301:
300:
292:
291:
287:
286:
285:
284:
279:
277:Liquidity risk
274:
266:
265:
261:
260:
259:
258:
257:
256:
251:
246:
236:
235:
234:
229:
219:
218:
217:
212:
202:
201:
200:
195:
194:
193:
190:
180:
179:
178:
173:
163:
153:
152:
151:
146:
141:
139:Leverage ratio
136:
123:
122:
118:
117:
116:
115:
106:
97:
85:
84:
80:
79:
78:
77:
76:
75:
74:
73:
68:
63:
58:
48:
43:
33:
25:
24:
9:
6:
4:
3:
2:
767:
756:
753:
751:
748:
746:
743:
741:
738:
736:
733:
732:
730:
719:
714:
712:
707:
705:
700:
699:
693:
691:
687:
683:
679:
674:
671:
666:
662:
661:
654:
651:
648:
645:
642:
639:
636:
633:
630:
627:
626:
625:
624:
607:on 2014-09-15
606:
602:
598:
594:
590:
586:
579:
571:
567:
563:
556:
548:
544:
540:
536:
531:
526:
522:
515:
511:
501:
498:
496:
493:
491:
488:
486:
483:
482:
476:
474:
464:
452:
449:
446:
442:
441:
440:
437:
433:
431:
427:
423:
419:
415:
411:
407:
397:
394:
386:
376:
372:
366:
365:
359:
354:
345:
344:
334:
329:
327:
322:
320:
315:
314:
312:
311:
308:
305:
304:
299:
296:
295:
294:
293:
289:
288:
283:
280:
278:
275:
273:
270:
269:
268:
267:
263:
262:
255:
252:
250:
247:
245:
242:
241:
240:
237:
233:
230:
228:
225:
224:
223:
220:
216:
213:
211:
208:
207:
206:
203:
199:
196:
191:
189:
186:
185:
184:
181:
177:
174:
172:
169:
168:
167:
164:
162:
159:
158:
157:
154:
150:
147:
145:
142:
140:
137:
135:
134:Capital ratio
132:
131:
130:
127:
126:
125:
124:
120:
119:
114:
110:
107:
105:
101:
98:
96:
92:
89:
88:
87:
86:
82:
81:
72:
69:
67:
64:
62:
59:
57:
54:
53:
52:
49:
47:
44:
42:
39:
38:
37:
36:Basel Accords
34:
32:
29:
28:
27:
26:
18:
17:
690:expanding it
675:
622:
621:
609:. Retrieved
605:the original
595:(3): 31–56.
592:
588:
578:
569:
565:
555:
520:
514:
472:
470:
461:
438:
434:
409:
405:
404:
389:
380:
361:
253:
249:Standardized
210:Standardized
104:Central bank
375:introducing
205:Market risk
156:Credit risk
755:Bank stubs
729:Categories
611:2016-01-13
506:References
447:framework;
358:references
298:Disclosure
282:Legal risk
95:Regulation
83:Background
682:insurance
525:CiteSeerX
51:Basel III
735:Basel II
572:: 37–53.
547:14902497
485:Basel II
479:See also
428:and the
418:Basel II
46:Basel II
371:improve
222:CVA vol
91:Banking
71:Endgame
41:Basel I
545:
527:
360:, but
232:SA-CVA
227:BA-CVA
188:SA-CCR
149:Tier 2
144:Tier 1
676:This
543:S2CID
244:Basic
176:A-IRB
171:F-IRB
161:SA-CR
686:stub
680:and
678:bank
109:Risk
66:FRTB
61:NSFR
597:doi
535:doi
410:AMA
254:AMA
215:IMA
198:CCF
192:IMM
183:EAD
166:IRB
56:LCR
731::
591:.
587:.
568:.
564:.
541:.
533:.
523:.
111:/
102:/
93:/
717:e
710:t
703:v
692:.
614:.
599::
593:8
570:6
549:.
537::
408:(
396:)
390:(
385:)
381:(
367:.
332:e
325:t
318:v
Text is available under the Creative Commons Attribution-ShareAlike License. Additional terms may apply.