Reports of the demise of op risk modelling may have been greatly exaggerated. Although the Basel Committee on Banking Supervision has officially declared the end of the advanced measurement approach for operational risk capital, AMA models and their developers will not be decommissioned. Instead, they will be redeployed for calculating Pillar 2 capital.
Banks are taking the opportunity to build risk-sensitive Pillar 2 models to complement Basel’s new standardised measurement approach, or SMA, f
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