Forward-looking and incentive-compatible operational risk capital framework

被引：5
作者：
Migueis, Marco [1 ]
机构：
[1] Fed Reserve Board, 20th & C St NW,Mailstop 1809, Washington, DC 20551 USA
来源：
JOURNAL OF OPERATIONAL RISK | 2018年 / 13卷 / 03期
关键词：
banking regulation; operational risk; regulatory capital; incentive compatibility; MODELS; REQUIREMENTS; CHALLENGES; BANKING;
D O I：
10.21314/JOP.2018.219
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper proposes an alternative framework for setting banks' operational risk capital, which allows for forward-looking assessments and limits gaming opportunities by relying on an incentive-compatible mechanism. This approach promises to mitigate the vulnerability to gaming of the advanced measurement approach as well as the lack of risk sensitivity of the Basel Committee on Banking Supervision's new standardized approach for operational risk.
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页码：1 / 15
页数：15
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