Operational risk: A Basel II++ step before Basel III
AbstractFollowing Banking Committee on Banking Supervision, operational risk quantification is based on the Basel matrix which enables sorting incidents. In this paper, we deeply analyze these incidents and propose strategies for carrying out the supervisory guidelines proposed by the regulators. The objectives are as follows. On the first hand, banks need to provide a univariate capital charge for each cell of the Basel matrix. On the other hand, banks need also to provide a global capital charge corresponding to the whole matrix taking into account dependences. This paper proposes several solutions and attracts the regulators and managers attention on two crucial points : the granularity and the risk measures.
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Date of creation: 2011
Date of revision:
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Basel II; operational risks; EVT; copula;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-21 (All new papers)
- NEP-BAN-2011-11-21 (Banking)
- NEP-FMK-2011-11-21 (Financial Markets)
- NEP-RMG-2011-11-21 (Risk Management)
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