Data on Risk Management Discussed by F. Piacenza and Colleagues (Standardized measurement approach extension to integrate insurance deduction into…

Data on Risk Management Discussed by F. Piacenza and Colleagues (Standardized measurement approach extension to integrate insurance deduction into operational risk capital requirement)

By a News Reporter-Staff News Editor at Science Letter -- Investigators publish new report on Risk Management. According to news originating from Milan, Italy, by NewsRx correspondents, research stated, "The consultative document issued by the Basel Committee on Banking Supervision (BCBS) in March 2016 proposes the withdrawal of internal modeling for operational risk regulatory capital and describes the new proposed methodology for calculating operational risk capital requirement: the standardized measurement approach (SMA). One of the main problems with the SMA is that it does not allow the inclusion of insurance coverage as capital requirement deduction."

Our news journalists obtained a quote from the research, "As a direct consequence, the SMA offers no incentives to invest in insurance coverage in order to keep the risk profile under control. Even the incentive to invest in other mitigation actions is reduced, since forward-looking components are not considered and it takes several years to significantly affect the SMA capital requirement through loss reduction. This paper describes a possible proposal to extend the SMA to include insurance coverage. The operational risk capital-at-risk (OpCaR) model, probably the same one used to calibrate the SMA, is a natural choice for integrating insurance coverage into the extended SMA."

According to the news editors, the research concluded: "The OpCaR model is defined and used by regulators, and it can be easily implemented by all banks, as it is clearly described in the BCBS consultative paper 'Operational risk: revisions to the simpler approaches."

For more information on this research see: Standardized measurement approach extension to integrate insurance deduction into operational risk capital requirement. Journal of Operational Risk, 2017;12(4):31-49. Journal of Operational Risk can be contacted at: Incisive Media, Haymarket House, 28-29 Haymarket, London, SW1Y 4RX, England (see also Risk Management).

The news correspondents report that additional information may be obtained from F. Piacenza, UniCredit S.p.A., Grp Operat & Reputat Risk, I-20124 Milan, Italy.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.21314/JOP.2017.202. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.

Keywords for this news article include: Milan, Italy, Europe, Risk Management, Business.

Our reports deliver fact-based news of research and discoveries from around the world. Copyright 2018, NewsRx LLC