The consultative document issued by the Basel Committee on Banking Supervision (BCBS) in March 2016 proposes the withdrawal of internal modeling for operational risk regulatory capital and describes the new proposed methodology for calculating operational risk capital requirement: the standardized measurement approach (SMA). One of the main problems with the SMA is that it does not allow the inclusion of insurance coverage as capital requirement deduction. As a direct consequence, the SMA offers no incentives to invest in insurance coverage in order to keep the risk profile under control. Even the incentive to invest in other mitigation actions is reduced, since forward-looking components are not considered and it takes several years to significantly affect the SMA capital requirement through loss reduction. This paper describes a possible proposal to extend the SMA to include insurance coverage. The operational risk capital-at-risk (OpCaR) model, probably the same one used to calibrate the SMA, is a natural choice for integrating insurance coverage into the extended SMA. The OpCaR model is defined and used by regulators, and it can be easily implemented by all banks, as it is clearly described in the BCBS consultative paper “Operational risk: revisions to the simpler approaches”.

中文翻译：

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将保险扣除纳入操作风险资本要求的标准化计量方法扩展

巴塞尔银行监管委员会（BCBS）于 2016 年 3 月发布的咨询文件提议取消操作风险监管资本的内部模型，并描述了计算操作风险资本要求的新方法：标准化计量法（SMA）。SMA 的主要问题之一是它不允许将保险范围作为资本要求扣除。作为直接结果，SMA 没有提供投资保险的激励措施，以控制风险状况。甚至投资于其他缓解行动的动机也会减少，因为没有考虑前瞻性组成部分，并且需要几年时间才能通过减少损失来显着影响 SMA 资本要求。本文描述了一项将 SMA 扩展到包括保险范围的可能提议。操作风险资本在险 (OpCaR) 模型可能与用于校准 SMA 的模型相同，是将保险范围整合到扩展 SMA 中的自然选择。OpCaR 模型由监管机构定义和使用，所有银行都可以轻松实施，正如 BCBS 咨询文件“操作风险：对更简单方法的修订”中明确描述的那样。