Advanced Measurement Approach

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Basel II

Bank for International Settlements Basel Accord - Basel I Basel II

Background

Banking Monetary Policy - Central Bank Risk - Risk management Regulatory Capital Tier 1 - Tier 2

Pillar 1: Regulatory Capital

Credit Risk Standardized - F-IRB - A-IRB PD - LGD - EAD Operational Risk Basic - Standardized - AMA Market Risk Duration - Value at Risk

Pillar 2: Supervisory Review

Economic Capital Liquidity Risk - Legal Risk

Pillar 3: Market Disclosure

Disclosure

Business and Economics Portal

The term "Advanced Measurement Approach" or AMA refers to a set of operational risk measurement techniques proposed under Basel II capital adequacy rules for banking institutions.

Under this approach the banks are allowed to develop their own empirical model to quantify required capital for operational risk. Banks can use this approach only subject to approval from their local regulators.

Also, according to section 664 of original Basel Accord, In order to qualify for use of the AMA a bank must satisfy its supervisor that, at a minimum:

• Its board of directors and senior management, as appropriate, are actively involved in the oversight of the operational risk management framework;
• It has an operational risk management system that is conceptually sound and is implemented with integrity; and
• It has sufficient resources in the use of the approach in the major business lines as well as the control and audit areas.

[edit] See Also

• Standardized Approach (Operational Risk)
• Basic indicator approach
• Basel II
• Operational Risk

[edit] References

• http://www.bis.org/publ/bcbsca.htm Basel II: Revised international capital framework (BCBS)
• http://www.bis.org/publ/bcbs107.htm Basel II: International Convergence of Capital Measurement and Capital Standards: a Revised Framework (BCBS)
• http://www.bis.org/publ/bcbs118.htm Basel II: International Convergence of Capital Measurement and Capital Standards: a Revised Framework (BCBS) (November 2005 Revision)
• http://www.bis.org/publ/bcbs128.pdf Basel II: International Convergence of Capital Measurement and Capital Standards: a Revised Framework, Comprehensive Version (BCBS) (June 2006 Revision)