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http://ssrn.com/abstract=956214
 
 

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Constraints of Consistent Operational Risk Measurement and Regulation: Data Collection and Loss Reporting


Andreas (Andy) Jobst


International Monetary Fund (IMF) - European Department


Journal of Financial Regulation an Compliance, 2007

Abstract:     
Amid increased size and complexity of the banking industry, operational risk has a greater potential to transpire in more harmful ways than many other sources of risk. This paper provides a succinct overview of the current regulatory framework of operational risk under the New Basel Accord with a view to inform a critical debate about the influence of data collection, loss reporting, and model specification on the consistency of risk-sensitive capital rules. In particular, the paper investigates the regulatory implications of varying characteristics of operational risk and different methods to identify operational risk exposure. The presented findings offer tractable recommendations for a more coherent and consistent regulation of operational risk.

Number of Pages in PDF File: 27

Keywords: risk management, operational risk, risk management, financial regulation, Basel Committee, Basel II, New Basel Capital Accord, fat tail behavior, extreme tail behavior

JEL Classification: G10, G21, K20

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Date posted: January 11, 2007  

Suggested Citation

Jobst, Andreas (Andy), Constraints of Consistent Operational Risk Measurement and Regulation: Data Collection and Loss Reporting. Journal of Financial Regulation an Compliance, 2007. Available at SSRN: http://ssrn.com/abstract=956214

Contact Information

Andreas A. Jobst (Contact Author)
International Monetary Fund (IMF) - European Department ( email )
700 19th Street NW
Washington, DC 20431
United States
+1-202-623-6362 (Phone)
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