CAPITAL REQUIREMENTS FOR OPERATIONAL RISK: AN INCENTIVE APPROACH - HAL Accéder directement au contenu
Pré-publication, Document de travail Année : 2010

CAPITAL REQUIREMENTS FOR OPERATIONAL RISK: AN INCENTIVE APPROACH

Résumé

This paper proposes a simple continuous time model to analyze capital charges for operational risk. We find that undercapitalized banks have less incentives to reduce their operational risk exposure. We view operational risk charge as a tool to reduce the moral hazard problem. Our results show, that only Advanced Measurement Approach may create appropriate incentives to reduce the frequency of operational losses, while Basic Indicator Approach appears counterproductive.
Fichier principal
Vignette du fichier
DTGREQAM2010-24.pdf ( 238.72 Ko ) Télécharger
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

halshs-00504163, version 1 (20-07-2010)

Identifiants

  • HAL Id : halshs-00504163 , version 1

Citer

Mohamed Belhaj. CAPITAL REQUIREMENTS FOR OPERATIONAL RISK: AN INCENTIVE APPROACH. 2010. ⟨halshs-00504163⟩
107 Consultations
233 Téléchargements
Dernière date de mise à jour le 28/04/2024
comment ces indicateurs sont-ils produits

Partager

Gmail Facebook Twitter LinkedIn Plus