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Banks' Operational ...
Banks' Operational Risk Measurement in Practice: Swedish banks' adaptation to the Basel II accord
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- Lindblom, Ted, 1956 (författare)
- Gothenburg University,Göteborgs universitet,Företagsekonomiska institutionen, Industriell och finansiell ekonomi,Department of Business Administration, Industrial and Financial Management Group
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Willesson, Magnus, 1975 (författare)
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(creator_code:org_t)
- 2009
- 2009
- Engelska.
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Ingår i: Wolpertinger Conference 2009, European Association of University Teachers of Banking and Finance, Sept 2-5, Rome, Italy.
- Relaterad länk:
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https://gup.ub.gu.se...
Abstract
Ämnesord
Stäng
- Since the implementation of Basel II in 2007, risk management in banks includes capital adequacy requirement also for operational risk. A bank‟s exposure to risk may be evaluated based on three measurement approaches with different degree of sophistication. The aim of this paper is to evaluate Swedish banks‟ adoption of regulatory risk measurement approaches over the first two years of Basel II. Particular interest is paid to the impact of the financial crisis and the proportion of capital held by the banks depending on how they measure exposure to operational risk as well as in relation to their exposure to credit and market risk. We find that most banks are using the default approaches provided by the regulatory body as it does not pay off to use a more sophisticated approach. The use of more advanced approaches depends primarily on the size of the bank, but also its ownership. Finally, there is strong relationship between the banks‟ choice of operational risk approach and their regulatory approach used for measuring exposures to credit risk.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business (hsv//eng)
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Företagsekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Business Administration (hsv//eng)
Nyckelord
- Banking
- operation risk
- capital adequacy
Publikations- och innehållstyp
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