This paper proposes a methodology to analyze the implications of the Advanced Measurement Approach (AMA) for the assessment of operational risk put forward by the Basel II Accord. The methodology relies on an integrated procedure for the construction of the distribution of aggregate losses,...

Cover -- Title Page -- Copyright -- Contents -- About the Author -- Foreword -- Preface -- Introduction -- Part One Risk Identification -- Chapter 1 Risk Identification Tools -- Top-Down and Bottom-Up Risk Identification -- Exposure and Vulnerabilities -- The Risk Wheel -- The Root Causes of...

Recently, Basel Committee for Banking Supervision proposed to replace all approaches, including Advanced Measurement Approach (AMA), for operational risk capital with a simple formula referred to as the Standardised Measurement Approach (SMA). This paper discusses and studies the weaknesses and...