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Operational Risk in BaselⅡ Loss Data Collection Structure of Basel Ⅱ for “OpRisk” Pillar 1 : (MRC) Minimum Required Capital Basic Indicator Approach (BIA) Standardized Approach (SDA) Advanced Measurement Approach (AMA) Pillar 2 : Supervisory Review Process Pillar 3 : Disclosure Loss Data collection Breaking loss data into “Business Lines” and “Event Types”. Business line / event types classification Business line / event types classification Structure of Basel Ⅱ for “OpRisk” Structure of Basel Ⅱ for“OpRisk” Pillar 1. Basic Indicator Approach (BIA) Little Discussion about “Indicator” The indicator serves as a proxy for the scale of business operations and thus the likely scale of operational risk exposure within each of these business lines. Little Discussion about “α” Pillar 1. Standardized Approach (SDA) Pillar 1. Standardized Approach (SDA) Little Discussion about “β” β is estimated based on industry (Banking) data. An estimation result of β Pillar 1. Advanced Measurement Approach (AMA) An internal operational risk system. Not a standard approach yet. Three broadly discussed approaches Internal Measurement Approach (IMA) Loss Distribution Approach (LDA) Scorecard Approach (SA) Qualifying criteria and the relationship between approaches Before adapting a new approach, you must fulfill some criteria. Internal Measurement Approach (IMA) Banks estimate operational risk capital based on measures of expected operational risk losses. IMA assumes a fixed and stable relationship between expected losses (the mean of the loss distribution) and unexpected losses (the tail of the loss distribution). Internal Measurement Approach (IMA) How to measure EL(expected loss)? Loss Distribution Approach (LDA) Under LDA, banks estimate, for each business line/loss type combination, the likely distribution of operational risk losses over future horizon (for instance, one year). The capital charge is based on the simple sum of the VaR for each business line (and loss typ