In this webinar, Risk Dynamics trainees Nan Yun (UCL, London), Francesco Defonte (Solvay Business School, Brussels) and Fangyuan Lin (UCL, London) present the key outcomes of their research on the topic of the “Revised Standardised Approach for Operational Risk”.
The Basel Committee has performed a profound study on the Operational Risk profiles and experiences of different banks. Based on this analysis the Committee suggested a new approach to compute the Operational Risk Standard Formula Capital requirements. In the webinar Nan, Francesco and Fangyuan present in detail the new approach, discuss the limitations of the new Standard Formula as well as the possible implications on the industry. Special attention is put on the OpCar model that the Committee developed to approximate capital levels, as well as on the regression analysis that was used to select the components of the Business Indicator.
Published on: August 2015
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