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Response to consultation on draft Regulatory Technical Standards on assessment methodologies for the Advanced Measurement Approaches for operational risk
Go backQ2: Do you support the treatment under an AMA regulatory capital of fraud events in the credit area, as envisaged in Article 6? Do you support the phase-in approach for its implementation as set out in Article 48?
No - see detailed response. We disagree that fraud-related credit boundary events should be classified as pure" operational risk events. There are many other types of credit-related losses where operational risk, rather than credit risk, is the "source" of the credit position (e.g. failures in collateral management). It is important that all credit boundary events are properly captured within the scope of operational risk and subject to the same qualitative operational risk management framework; however, it is appropriate to model the associated capital requirements consistently within credit risk. Unable to find Article 48"Q3: Do you support the collection of ’opportunity costs/loss revenues‘ and internal costs at least for managerial purposes, as envisaged in Article 7(2)?
No - see detailed response. Including opportunity costs/lost revenues in operational risk event data should not be a requirement. Such information is highly subjective, would be costly to collect and would be of negligible value.Q4: Do you support the items in the lists of operational risk events in Articles 4, 5 and 6, and the items in the list of operational risk loss in Article 7? Or should more items be included in any of these lists?
Generally, yes.Q5. Do you support that the dependence structure between operational risk events cannot be based on Gaussian or Normal-like distributions, as envisaged in Article 26 (3)? If not, how could it be ensured that correlations and dependencies are well-captured?
Yes.Q6: Do you support the use of the operational risk measurement system not only for the calculation of the AMA regulatory capital but also for the purposes of internal capital adequacy assessment, as envisaged in Article (42)(d)?
Yes.Name of organisation
Morgan Stanley
