6/06/2016

SMA | Comments on BCBS (June 2016) consultation (Standardized Measurement Approach for calculations of Op Risk Capital) - Benoît GENEST, Hélène FREON, Mariya BENJELLOUN

CH&Co provides a response to the Basel Committee on Banking Supervision’s consultative document based on the public data communicated by the Bank for International Settlements.

Our comments represent an open response including different lines of thought. However, the proposals should not be considered as final solutions but as a strong willingness on the part of CH&Co to open the debate about the Standardised Measurement Approach and to challenge the topics that seem relevant to us. We aim at identifying potential limits and weaknesses, providing alternatives and possible area for improvements. The proposals presented in this document are complementary, as they provide different visions and area for improvements within the SMA methodology.

Our comments relate to 3 areas:

  • SMA method inputs : specific analysis  of the internal losses data
  • SMA method components : specific analysis of the LC
  • Capital calculation methodology : specific analysis of the SMA formula
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