Report - Jan 2024
During 2023 the ORX Banking Analytics Working Group discussed the impact of the move to Basel III on risk measurement models for operational risk. Under the new Basel III approach, firms have the option to retire their legacy AMA models and calculate operational risk capital requirements through a standardised formula.
However, many banks see an opportunity to adapt their AMA models to new uses, unlocking insights from the loss distributions that are more relevant for day-to-day risk management. Other firms are seeking to deploy their risk modelling resources to develop new risk measurement applications.
In this report, we provide examples of what some firms are doing to innovate for the new regulatory landscape. Many of these examples were presented and discussed at ORX Analytics Working Group meetings. The report is available to all members of ORX.
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Head of Risk Measurement, ORX
Research Manager, ORX