It's all in the data – consistent operational risk measurement and regulation
Purpose – 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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 15 (2007)
Issue (Month): 4 (November)
|Contact details of provider:|| Web page: http://www.emeraldinsight.com|
|Order Information:|| Postal: Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK|
Web: http://emeraldgrouppublishing.com/products/journals/journals.htm?id=jfrc Email:
References listed on IDEAS
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.:
- 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, 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.
- Carolyn Currie, 2006. "A Test Of The Strategic Effect Of Basel Ii Operational Risk Requirements On Banks," The IUP Journal of Monetary Economics, IUP Publications, vol. 0(4), pages 6-28, November.
- Carolyn Currie, 2005. "A Test of the Strategic Effect of Basel II Operational Risk Requirements on Banks," Working Paper Series 141, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Kabir K. Dutta & David F. Babbel, 2005.
"Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions,"
The Journal of Business,
University of Chicago Press, vol. 78(3), pages 841-870, May.
- Kabir K. Dutta & David F. Babbel, 2002. "Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions," Center for Financial Institutions Working Papers 02-26, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Andreas Jobst, 2007. "Operational Risk: The Sting is Still in the Tail But the Poison Dependson the Dose," IMF Working Papers 07/239, International Monetary Fund.
- 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.
When requesting a correction, please mention this item's handle: RePEc:eme:jfrcpp:v:15:y:2007:i:4:p:423-449. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Louise Lister)
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.