期刊名称:Documents de Travail du Centre d'Economie de la Sorbonne
印刷版ISSN:1955-611X
出版年度:2016
出版社:Centre d'Economie de la Sorbonne
摘要:This response has been put together by academics and in total independence of any corporate or individual interests. Our results are solely driven by scientific analysis and presented in the interest of the financial and business community, both the regulated entities and the regulators alike. The response addresses the Standardised Measurement Approach (SMA) proposed in the Basel Committee for Banking Supervision consultative document "Standardised Measurement Approach for operational risk" (issued in March 2016 for comments by 3 June 2016) [BCBSd355,2016]; and closely related Operational risk Capital-at-Risk (OpCar) model proposed in the Committee consultative document "Operational risk - revisions to the simpler approaches" October 2014 [BCBSd291].
关键词:operational risk; standardised measurement approach; loss distribution approach; advanced measurement approach; Basel Committee for Banking Supervision regulations