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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Bibliographic InfoPaper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00722029.
Date of creation: 2012
Date of revision:
Publication status: Published, Journal of risk management in financial institutions, 2012, 6, 13, 37 - 53
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Operational risks; Loss Distribution Function; risk measures; EVT; Vine copula;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-08-23 (All new papers)
- NEP-BAN-2012-08-23 (Banking)
- NEP-CBA-2012-08-23 (Central Banking)
- NEP-RMG-2012-08-23 (Risk Management)
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Documents de travail du Centre d'Economie de la Sorbonne
b08095, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Mar 2010.
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