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
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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.
The news correspondents report that additional information may be obtained from
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.
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