ABSTRACT

When quantifying the regulatory capital for operational risk, the Basic Indicator Approach, the Standardized Approach, and the Advanced Measurement Approach (AMA) are used. Banking Regulation and Supervision Agency (BDDK) permits banks to choose their own approach among these three approaches applied to calculate operational risk. Although the development of internal models and the implementation of the AMA require significant resources, the banks aim to calculate a lower capital charges and adopt a more precise measurement approach.

In this paper, the methods used by banks in the calculation of operational risks are analyzed, and the costs and benefits brought by these methods for the decision phase to the banks are discussed.