In December 2017, the Basel Committee published the final description of the new Standardised Measurement Approach (SMA). This affects the Pillar 1 RWA calculation for all banks regardless of the quantification techniques currently in use. It is also a good opportunity to review the approach used in the banks’ Pillar 2 (ICAAP) process as well as other aspects of the operational risk management framework.
Finalyse has extensive experience in helping our clients quantify operational risks - including the expanding list of Pillar 2 risks discussed in the annual SREP review. A consultation with our experts regarding other aspects of the operational risk framework such as KRI’s, risk appetite and tolerance, as well as model risk management, could also be beneficial to you.