Cover IMF Working Papers
Consistent Quantitative Operational Risk Measurement and Regulation: Challenges of Model Specification, Data Collection and Loss Reporting
Author:
Andreas Jobst
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Series:
IMF Working Papers
Volume/Issue:
Volume 2007: Issue 254
Language:
English
Publication Date:
01 Nov 2007
DOI:
https://doi.org/10.5089/9781451868173.001
ISBN:
9781451868173
ISSN:
1018-5941
Pages:
46
Keywords:
WP; capital; gross income; business line
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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Amid increased size and complexity of the banking industry, operational risk has a greater potential to transpire in more harmful ways than many other sources of risk. This paper provides a succinct overview of the current regulatory framework of operational risk under the New Basel Capital Accord with a view to inform a critical debate about the influence of varying loss profiles and different methods of data collection, loss reporting, and model specification on the reliability of operational risk estimates and the consistency of risk-sensitive capital rules. The presented findings offer guidance on enhanced market practice and more effective prudential standards for operational risk measurement.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund
Volume 2007: Issue 254