New approach to operational risk measurement in banks

Abstract

Greater globalisation and an increasing role of financial markets have a significant impact on the banking industry and the operational risk management (ORM) process. The Basel Committee on Banking Supervision (BCBS) started to underline the importance of operational risk category and the capital requirements for the losses connected with operational risk (Basel II). Last financial crisis, which had enormous impact on financial markets caused the implementation of Basel III norms concerning regulatory capital requirements. The aim of this paper is to compare and assess different approaches for modelling an operational risk: the basic indicator approach (BIA) and the standardised approach (TSA), including its variant - the alternative standardised approach (ASA). The novelty of our approach lies in the critical analysis of these approaches from the viewpoint of capital measurement for operational risk.