Operational risk: A Basel II++ step before Basel III

Dominique Guegan () and Bertrand Hassani ()
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Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Bertrand Hassani: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, BPCE - BPCE

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: Following Banking Committee on Banking Supervision, operational risk quantification is based on the Basel matrix which enables sorting incidents. In this paper, we deeply analyze these incidents and propose strategies for carrying out the supervisory guidelines proposed by the regulators. The objectives are as follows. On the first hand, banks need to provide a univariate capital charge for each cell of the Basel matrix. On the other hand, banks need also to provide a global capital charge corresponding to the whole matrix taking into account dependences. This paper proposes several solutions and attracts the regulators and managers attention on two crucial points : the granularity and the risk measures.

Keywords: Bâle II; risque opérationnel; copules; Basel II; operational risks; EVT; copula (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-ban, nep-fmk and nep-rmg
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00639484v3
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Published in 2011

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Related works:
Working Paper: Operational risk: A Basel II++ step before Basel III (2012)
Working Paper: Operational risk: A Basel II++ step before Basel III (2012)
Working Paper: Operational risk: A Basel II++ step before Basel III (2012)
Working Paper: Operational risk: a Basel II++ step before Basel III (2011)
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