Basel II : operational risk measurement in the portuguese Banking sector and an evaluation of the quantitive impacts

The present work is aimed at understanding the general notion and origin of the New Basel Accord, which intends to attain international bank stability, emphasizing the convergence between regulatory capital and economic capital, applying its risk sensitive methodologies. This work focuses on one of the principal novelties of Basel II – operational risk and its respective methodologies for calculating minimum capital requirements. The New Capital Accord encourages financial institutions to gradually evolve from basic to sophisticated methodologies. Institutions using more sophisticated methods will be rewarded by deductions on the capital allocated for the calculation of the capital ratio. The methodologies associated to operational risk will be applied to a group of national banking institutions. These methodologies are referred to in Pillar I of the New Capital Accord: (i) basic indicator approach, (ii) the standardized approach and (iii) the alternative standardized approach. The purpose of this practical application is to evaluate and quantify the impact due to the introduction of Basel II.info:eu-repo/semantics/publishedVersio

Basel II : operational risk measurement in the portuguese banking sector

The present work focuses on one of the principal themes associated with the New Basel Accord - operational risk and its respective methodologies for calculating minimum capital requirements. The new capital accord encourages financial institutions to gradually evolve from basic to sophisticated methodologies. Institutions applying sophisticated methods will be rewarded with deductions on capital allocated when calculating the capital ratio. The methodologies related to operational risk will be applied to a group of national banking institutions. These methodologies are referred to in Pillar I of the new capital accord: (i) the basic indicator approach, (ii) the standardized approach and (iii) the alternative standardized approach. The purpose of this practical application is to evaluate and quantify the impact on several national banks of the different approaches linked to operational risk, introduced by Basel II