Efficiency of the Standard Method for Operational Risk at the Broker Dealers Market

The first Basel Accord adopted in 1988 changed the approach for the capital requirements from static capital threshold towards a dynamic requirement. While making revision of the Basel Accord the Basel Committee on Banking Supervision (hereafter the Basel Committee) enlarged the formerly applied credit and market risk with the recommendation on operational risk 1 (Committee, 2004). The Basel Committee proposed three approaches to the risk measurement: Basic Indicator Approach (BIA), the standardized approach (SA) and the advanced measurement approach (AMA). The BIA and SA are the methods based on a fraction of the gross income, while the AMA allowed for development of own model subject to coverage of the yearly operational risk exposure with a confidence interval of 99.9%. The investment companies in Poland are to the largest extent exposed to the operational risk. The table one presents the aggregated capital requirement for the broker-dealers market in Poland.