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Applying a Structured Approach to Operational Risk Scenario Analysis in Australia

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Author Info
Emily Watchorn () (Australian Prudential Regulation Authority)
Abstract

Banks intending to apply the Advanced Measurement Approach (AMA) to Operational Risk are required to use scenario analysis as one of the key data inputs into their capital model. Scenario analysis is a forward-looking approach, and it can be used to complement the banks? short recorded history of operational risk losses, especially for low frequency high impact events (LFHI).

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File URL: http://www.apra.gov.au/RePEc/RePEcDocs/Archive/working_papers/wp2007-02.pdf
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Publisher Info
Paper provided by Australian Prudential Regulation Authority in its series Working Papers with number wp2007-02.

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Date of creation: 12 Sep 2007
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Handle: RePEc:apr:aprewp:wp2007-02

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