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

Journal of Financial Regulation an Compliance, 2007

27 Pages Posted: 11 Jan 2007  

Andreas (Andy) Jobst

World Bank Group

Multiple version iconThere are 2 versions of this paper

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.

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

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: https://ssrn.com/abstract=956214

Andreas A. Jobst (Contact Author)

World Bank Group ( email )

1818 H Street, NW
Washington, DC 20433
United States
+1-202-473-0626 (Phone)

Paper statistics

Downloads
1,482
Rank
5,103
Abstract Views
5,589