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

Detalhes bibliográficos
Autor(a) principal: Couto, Gualter
Data de Publicação: 2008
Outros Autores: Bulhões, Kevin
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.3/4814
Resumo: 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.
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spelling Basel II : operational risk measurement in the portuguese Banking sector and an evaluation of the quantitive impactsBasel IIEconomic CapitalOperational RiskRegulatory CapitalThe 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.Universidade dos AçoresRepositório da Universidade dos AçoresCouto, GualterBulhões, Kevin2018-09-17T09:38:22Z2008-062008-06-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.3/4814engCouto, Gualter; Bulhões, Kevin (2008). Basel II: operational risk measurement in the portuguese Banking sector and an evaluation of the quantitive impacts, "Working Paper Series", 7, 23 pp.. Ponta Delgada: Universidade dos Açores, CEEAplA-A.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2022-12-20T14:33:03Zoai:repositorio.uac.pt:10400.3/4814Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:27:09.408016Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Basel II : operational risk measurement in the portuguese Banking sector and an evaluation of the quantitive impacts
title Basel II : operational risk measurement in the portuguese Banking sector and an evaluation of the quantitive impacts
spellingShingle Basel II : operational risk measurement in the portuguese Banking sector and an evaluation of the quantitive impacts
Couto, Gualter
Basel II
Economic Capital
Operational Risk
Regulatory Capital
title_short Basel II : operational risk measurement in the portuguese Banking sector and an evaluation of the quantitive impacts
title_full Basel II : operational risk measurement in the portuguese Banking sector and an evaluation of the quantitive impacts
title_fullStr Basel II : operational risk measurement in the portuguese Banking sector and an evaluation of the quantitive impacts
title_full_unstemmed Basel II : operational risk measurement in the portuguese Banking sector and an evaluation of the quantitive impacts
title_sort Basel II : operational risk measurement in the portuguese Banking sector and an evaluation of the quantitive impacts
author Couto, Gualter
author_facet Couto, Gualter
Bulhões, Kevin
author_role author
author2 Bulhões, Kevin
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade dos Açores
dc.contributor.author.fl_str_mv Couto, Gualter
Bulhões, Kevin
dc.subject.por.fl_str_mv Basel II
Economic Capital
Operational Risk
Regulatory Capital
topic Basel II
Economic Capital
Operational Risk
Regulatory Capital
description 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.
publishDate 2008
dc.date.none.fl_str_mv 2008-06
2008-06-01T00:00:00Z
2018-09-17T09:38:22Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.3/4814
url http://hdl.handle.net/10400.3/4814
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Couto, Gualter; Bulhões, Kevin (2008). Basel II: operational risk measurement in the portuguese Banking sector and an evaluation of the quantitive impacts, "Working Paper Series", 7, 23 pp.. Ponta Delgada: Universidade dos Açores, CEEAplA-A.
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade dos Açores
publisher.none.fl_str_mv Universidade dos Açores
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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