Consistent Quantitative Operational Risk Measurement and Regulation: Challenges of Model Specification, Data Collection and Loss Reporting

November 1, 2007

Preview Citation

Format: Chicago

Andreas Jobst. Consistent Quantitative Operational Risk Measurement and Regulation: Challenges of Model Specification, Data Collection and Loss Reporting, (USA: International Monetary Fund, 2007) accessed September 18, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

Amid increased size and complexity of the banking industry, operational risk has a greater potential to transpire in more harmful ways than many other sources of risk. This paper provides a succinct overview of the current regulatory framework of operational risk under the New Basel Capital Accord with a view to inform a critical debate about the influence of varying loss profiles and different methods of data collection, loss reporting, and model specification on the reliability of operational risk estimates and the consistency of risk-sensitive capital rules. The presented findings offer guidance on enhanced market practice and more effective prudential standards for operational risk measurement.

Subject: Banking, Basel Core Principles, Capital adequacy requirements, Operational risk, Personal income

Keywords: Business line, Capital, Gross income, WP

Publication Details

Pages:

46
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2007/254
Stock No:

WPIEA2007254
ISBN:

9781451868173
ISSN:

1018-5941

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