Evaluation the AMA and the New Standardized Approach for Operational Risk Capital

This paper proposes an alternative framework to set banks' operational risk capital, which allows for forward-looking assessments and limits gaming opportunities by relying on an incentive-compatible mechanism. This approach would improve upon the vulnerability to gaming of the AMA and the lack of risk-sensitivity of BCBS's new standardized approach for operational risk.JEL Classification: G21, G28, G32

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Is Operational Risk Regulation Forward-Looking and Sensitive to Current Risks?

Migueis

2018

SSRN Journal

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Evaluation the AMA and the New Standardized Approach for Operational Risk Capital

Cited by 4 publications

References 30 publications

Is Operational Risk Regulation Forward-looking and Sensitive to Current Risks?

Is Operational Risk Regulation Forward-looking and Sensitive to Current Risks?

Forward-looking and Incentive-compatible Operational Risk Capital Framework

Is Operational Risk Regulation Forward-Looking and Sensitive to Current Risks?

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