Four methods for using external data in a banks operational risk OpVar calculations the saga of external data continues.
Under Basel II operational risk Advanced Measurement Approach for quantifying operational risk losses, banks need to factor external loss data into their internal capital models. The argument is old and has been debated for years but this topic has resurfaced again among many financial institutions.
In this journal, we look at key practices for implementing external loss data in a banks OpVaR calculations.
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