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Eric Cope
Credit Suisse
Publications 1
Published on Sep 1, 2016in Journal of Operational Risk 0.73
Giulio Mignola3
Estimated H-index: 3
(Intesa Sanpaolo),
Roberto Ugoccioni3
Estimated H-index: 3
(Intesa Sanpaolo),
Eric Cope1
Estimated H-index: 1
(Credit Suisse)
On March 4, 2016, the Basel Committee on Banking Supervision published a consultative document in which a new methodology, the standardized measurement approach (SMA), was introduced for computing operational risk regulatory capital for banks. In this paper, the behavior of the SMA is studied under a variety of hypothetical and realistic conditions, showing that the simplicity of the new approach is very costly in some ways. We find that the SMA does not respond appropriately to changes in the r...