IDEAS home Printed from https://ideas.repec.org/p/boj/bojwps/01-e-2p.html
   My bibliography  Save this paper

Internal Measurement Approach to Operational Risk Capital Charge

Author

Listed:
  • Toshihiko Mori

    (Bank of Japan)

  • Eiji Harada

    (Bank of Japan)

Abstract

This paper summarizes the recent discussions on the regulatory framework for operational risk capital charge, incorporating various comments that the Bank of Japan (BOJ) has received since the authors published a discussion paper titled "Internal Risk Based Approach" on the website of BOJ in August 2000 (August paper). In the first few sections of this paper, an evolutionary framework for operational risk measurement is briefly outlined, whose basic contents are almost the same as in the August paper. However, terminology and mathematical expressions used in this paper are slightly different from those used in the August paper, reflecting recent dialogues between the industry and supervisors. (For example, an approach that was previously called "Internal Risk Based Approach" in the August paper is now called "Internal Measurement Approach" in this paper. Then, the next few sections focus on the structure of the Internal Measurement Approach (IMA). While the concept of the measurement approach has already been explained in the August paper, this paper describes elements related to the approach as specifically as possible, including the definition of operational loss, methods of parameters estimation, calibration of supervisory scaling factors, and the structure of loss database. Furthermore, a simplified method on how to incorporate risk mitigation effect by insurance in the regulatory framework is proposed in the final sections. In developing the concept, the authors have conducted various researches on this matter cooperating with professionals from both banking and insurance industry, including actuaries.

Suggested Citation

  • Toshihiko Mori & Eiji Harada, 2001. "Internal Measurement Approach to Operational Risk Capital Charge," Bank of Japan Working Paper Series Financial and Payment Sys, Bank of Japan.
  • Handle: RePEc:boj:bojwps:01-e-2p
    as

    Download full text from publisher

    File URL: http://www.boj.or.jp/en/research/wps_rev/wps_2001/data/fwp01e02.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gualter Couto & Kevin Medeiros Bulhões, 2009. "Basel II: operation risk measurement in the Portuguese banking sector," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(3), pages 259-278.
    2. Olteanu Ana-Cornelia, 2012. "Operational Risk Management," Constanta Maritime University Annals, Constanta Maritime University, vol. 18(2), pages 335-338.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boj:bojwps:01-e-2p. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Bank of Japan (email available below). General contact details of provider: https://edirc.repec.org/data/bojgvjp.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.