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Basel II: operation risk measurement in the Portuguese banking sector

  • Gualter Couto

    ()

    (Department of Economics and Management, and CEEAplA, University of the Azores, Portugal)

  • Kevin Medeiros Bulhões

    ()

    (N/A)

Registered author(s):

    The present work focuses on one of the principal themes associated to the New Basel Accord – operational risk and its respective methodologies for calculating minimum capital requirements. The new capital accord encourages financial institutions to gradually evolve from basic to sophisticated methodologies. Institutions applying sophisticated methods will be rewarded with deductions on capital allocated when calculating the capital ratio. The methodologies related to operational risk will be applied to a group of national banking institutions. These methodologies are referred to in Pillar I of the new capital accord: (i) basic indicator approach, (ii) the standardized approach and (iii) the alternative standardized approach. The purpose of this practical application is to evaluate and quantify the impact on several national banks of the different approaches linked to operational risk, introduced by Basel II.

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    File URL: http://pascal.iseg.utl.pt/~pjms/files/2009-BaselII-operational_risk_measurement_in_the_portuguese_banking_sector.pdf
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    Article provided by ISEG, Universidade de Lisboa in its journal Portuguese Journal of Management Studies.

    Volume (Year): XIV (2009)
    Issue (Month): 3 ()
    Pages: 259-278

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    Handle: RePEc:pjm:journl:v:xiv:y:2009:i:3:p:259-278
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    1. 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.
    2. 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.
    3. 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.
    4. Carolyn Currie, 2004. "The Potential Effect of the New Basel Operational Risk Capital Requirements," Working Paper Series 137, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
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