"The New Operational Risk Rules for Small Banks: Who Cares about the Black Swan?"

Our research finds out the potential competitive impact of the new Italian Banking capital regulation for operational risks. Differently from the approach underlying the new discipline of the United States and many European countries, the Italian regulation allows the access to the advanced measurement approaches (AMA) only to banks and financial intermediaries whose size or specialization requirements meet predefined levels. In our research we compare the capital at risk (estimated with a one year holding period and a 99.9th percentile confidence interval) and the capital charge calculated by basic indicator methodology. Using operational loss data of one bank that does not meet regulation constraints, we show the unfair penalization of the new supervisory regulation on capital requirements for a large group of intermediaries.