Report

Risk measurement modelling beyond AMA

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ORX Membership

Community

Analytics Community

Risk programme

Measurement, Data & Capital

Content

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.

Disclaimer: ORX has prepared this resource with care and attention. ORX does not accept responsibility for any errors or omissions. ORX does not warrant the accuracy of the advice, statement or recommendations in this resource. ORX shall not be liable for any loss, expense, damage or claim arising from this resource. The content of this resource does not itself constitute a contractual agreement, and ORX accepts no obligation associated with this resource except as expressly agreed in writing. ©ORX 2024