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A working paper by Andreas A. Jobst, International Monetary Fund - Monetary and Capital Markets Department.
Abstract
Amid increased size and complexity of the banking industry, operational risk has a greater potential to transpire in greater and more harmful ways than many other sources of risk. This paper provides a succinct overview of modeling constraints and critical issues of consistent risk estimation under current regulatory standards. In particular, we show how the varying characteristics of operational risk and different methods to identify, collect and report operational risk losses influence the reliability and consistency of operational risk estimates. The implications of our findings offer instructive and tractable recommendations for a more effective operational risk measurement.
Read the paper (PDF)
•Date: 25th Jan 2007• Region: World •Type: Article •Topic: Operational risk
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