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.
Avoid mistakes like a “zero tolerance” policy for operational risk
Complex treatment of all aspects of your ORM framework
You decide if we should help your team or get the work done for you
You decide how simple or complex your ORM framework should be
You do not have to aim for AMA to benefit from talking to us
This Expert input is a follow-up to a previous expert input on finalising Basel III, this time with a focus on operational risk – an unsung villain of risk management. It gives a brief overview of the history of operational risk management and shows how exactly the crisis motivated a multitude of measurement approaches at the beginning (AMA) in particular, and their subsequent standardisation in Standardised Measurement Approach (AMA). There is a detailed outline of how the AMA formula works and a short discourse on output floor.Read