2015年-普华永道全球_Operational_Risk_16页_8mb

Operational Risk: The End of Internal Modelling?

Summary

Core Content

This document discusses the potential end of the Advanced Measurement Approach (AMA) for operational risk capital calculations under the Basel Committee on Banking Supervision (BCBS). It highlights the shortcomings of AMA-style internal models and the limitations of the New Standardised Approach (NSA) introduced in October 2014. The text also suggests a shift in the purpose and application of internal models from capital calculations to management decision support.

Main Points

1. AMA's Shortcomings

• Resource Intensity: AMA requires extensive data, technology, and skilled resources, making it costly and complex.
• Backward-Looking: AMA relies heavily on historical loss event data, which may not reflect current or future risk profiles.
• Lack of Risk Sensitivity: Models may not accurately capture changes in operational risk exposure, especially in stressed scenarios.
• Variability in Practice: Different institutions use varying data inputs, methods, and assumptions, leading to inconsistent and opaque capital calculations.
• Regulatory Skepticism: Regulators have frequently required adjustments to AMA models, undermining the capital relief that institutions expected.

2. The New Standardised Approach (NSA)

• Proposed in October 2014: Replaced the Basic Indicator Approach (BIA) and Standardised Approach (TSA).
• Enterprise-Wide Business Indicator (BI): Uses absolute values of interest, services, and financial income/loss to calculate capital requirements.
• Tiered Capital Requirements: Based on the firm's size, with capital charges ranging from 10% to 30% of BI.
• Criticism: Despite its theoretical advantages (like transparency and comparability), the NSA was criticized for being too simplistic and not adequately reflecting the complexity of operational risk.
• Capital Increases: Many institutions would see higher operational risk capital under the NSA compared to the BIA.

3. Future Outlook

• Potential End of AMA: The BCBS is expected to propose a single method for calculating operational risk capital, possibly replacing AMA.
• Shift in Purpose: If AMA is phased out, banks should redirect their analytical efforts toward models that support management decisions rather than regulatory capital calculations.
• Focus on Risk Management: Internal models should be used to improve understanding of operational risk exposures, enabling better risk identification, assessment, and mitigation.
• Cultural Shift Required: Operational risk managers need to engage more with business leaders and shift their focus from capital model inputs to strategic risk insights.

4. Recommendations for Banks

• Improve Factor-Based Models: Develop models that capture the underlying drivers of operational risk at the process and product level.
• Enhance Stress Testing: Focus on forward-looking tools such as scenario analysis to understand risk behavior under stress.
• Leverage Insights: Use operational risk data to inform business decisions and risk mitigation strategies.
• Invest in Analytics: Continue to build and refine analytical capabilities to support better risk management practices.

Key Information

• AMA vs. NSA: While AMA is more sophisticated and risk-sensitive, it is also more resource-intensive. NSA is simpler but less sensitive and may increase capital requirements.
• Regulatory Uncertainty: The BCBS is expected to issue a consultative paper by the end of 2015, which may lead to the replacement of AMA with a single method.
• Industry Concerns: Many banks feel that AMA has not delivered the expected benefits in terms of capital relief and risk management.
• Operational Risk Management: The document emphasizes that the focus should shift from capital calculations to improving operational risk understanding and management.

Conclusion

The AMA, while intended to improve risk management and reduce capital requirements, has faced significant criticism due to its complexity and resource demands. The NSA, though a step forward, is not seen as a viable alternative. While the AMA may be phased out, internal models will continue to play a role, but their purpose will evolve toward supporting management decisions rather than regulatory capital. Banks should continue to invest in analytical capabilities to enhance operational risk management and better align with regulatory expectations.