期刊名称：Finance Publications / Centre for Financial Research, Cambridge University
出版年度：2004
卷号：2004
出版社：Cambridge University
摘要：The Basel Committee’s release of the new Basel Accord and its new operational
risk class are raising questions on how regulatory capital for operational risk should be
determined and is transforming the banks’ view of economic capital. This paper investigates
the relationship between publicly available economic capital - and regulatory capital figures
from 2002 and 2003, and compares these with figures from the Basel Committee’s
Quantitative Impact Studies. The focus will be constrained to top 50 internationally active
banks. Initially, many if not most banks will be using the simplest regulatory method, the Basic
Indicator Approach, to calculate the operational risk capital charge. Hence, the Basic Indicator
Approach is applied in order to study the impact of different definitions of gross income
resulting in different levels of operational risk capital charges. Finally, the comprehensiveness
of year-end economic capital disclosure in 2002 and 2003 annual reports of the top 50 banks
is examined to reflect the considerable evolutionary change that the banking industry is
undergoing.
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