It's all in the data – consistent operational risk measurement and regulation
AbstractPurpose – Amid increased size and complexity of the banking industry, operational risk has a greater potential to occur in more harmful ways than many other sources of risk. This paper seeks to provide a succinct overview of the current regulatory framework of operational risk under the New Basel Accord with a view to inform a critical debate about the influence of data collection, loss reporting, and model specification on the consistency of risk-sensitive capital rules. Design/methodology/approach – The paper's approach is to investigate the regulatory implications of varying characteristics of operational risk and different methods to identify operational risk exposure. Findings – The findings reveal that effective operational risk measurement hinges on how the reporting of operational risk losses and the model sensitivity of quantitative methods affect the generation of consistent risk estimates. Originality/value – The presented findings offer tractable recommendations for a more coherent and consistent regulation of operational risk.
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Bibliographic InfoArticle provided by Emerald Group Publishing in its journal Journal of Financial Regulation and Compliance.
Volume (Year): 15 (2007)
Issue (Month): 4 (November)
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Web page: http://www.emeraldinsight.com
Postal: Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Carolyn Currie, 2005.
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Working Paper Series
141, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
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- Carolyn Currie, 2005. "A Test of the Strategic Effect of Basel II Operational Risk Requirements on Banks," Working Paper Series 143, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
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"Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions,"
The Journal of Business,
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- Kabir K. Dutta & David F. Babbel, 2002. "On Measuring Skewness and Kurtosis in Short Rate Distributions: The Case of the US Dollar London Inter Bank Offer Rates," Center for Financial Institutions Working Papers 02-25, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Carolyn Currie, 2004. "Basel II and Operational Risk - Overview of Key Concerns," Working Paper Series 134, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Andreas Jobst, 2007. "Operational Risk," IMF Working Papers 07/239, International Monetary Fund.
- Attila Tamas Szora & Iulian Bogdan Dobra, 2009. "Considerations Regarding The Influence Of The Base Leading Rate Over Investment Projects Financed By Eu Funds," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(11), pages 44.
- Bryce, Cormac & Cheevers, Carly & Webb, Rob, 2013. "Operational risk escalation: An empirical analysis of UK call centres," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 298-307.
- Ioan Trenca & Iulia Neag, 2010. "Considerations Regarding Operational Risk Management in the Context of the Basel II Agreement," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 13(36), pages 171-185, June.
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