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首页> 外文期刊>The Journal of Operational Risk >Modeling operational risk capital: the inconvenient truth
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Modeling operational risk capital: the inconvenient truth

机译：运营风险资本建模：不便的事实

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摘要

Since 2008, over US$200 billion of operational risk losses have been incurred by large banks, mainly as a result of regulatory fines, lawsuits and demands for customer redress for various types of misconduct. A basic assumption underlying the modeling of operational risk regulatory capital (ORRC) under Basel Ⅱ is that such operational risk losses can be modeled as being idiosyncratic to an individual institution, as this is the (microprudential) level at which banks are currently regulated. This paper challenges that assumption and shows that it is an "inconvenient truth" that the largest losses by banks are not firm specific. Instead, the largest losses involve multiple banks being fined at the same time by multiple regulators for the same types of misconduct. In this paper, such large multi-bank incidents are called systemic operational risk events and it is argued that, in addition to the firm level, ORRC should also be modeled at the "systemic", or macroprudential, level. The paper also discusses arguments made by academics against current approaches taken to modeling ORRC and, finally, makes a suggestion to the Basel Committee that, similar to the current review being undertaken for market risk, a comprehensive fundamental review be undertaken for operational risk.
机译：自2008年以来，大型银行蒙受了超过2000亿美元的操作风险损失，这主要是由于监管罚款，诉讼以及对各种类型的不当行为的客户补救要求。在巴塞尔协议Ⅱ下，操作风险监管资本（ORRC）建模的基本假设是，可以将这种操作风险损失建模为对单个机构而言是特质的，因为这是当前银行监管的（微观审慎）水平。本文对这一假设提出了挑战，并表明，银行的最大损失不是企业特定损失，这是一个“不便的事实”。相反，最大的损失涉及多个监管机构同时针对同一类型的不当行为对多家银行进行罚款。在本文中，这样的大型多银行事件被称为系统性操作风险事件，并且认为，除了公司级别之外，ORRC还应该在“系统性”或宏观审慎级别上建模。本文还讨论了学者们反对当前采用的ORRC建模方法的论点，最后，向巴塞尔委员会提出了建议，与当前对市场风险的审查类似，对操作风险进行全面的基础审查。

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