Abstract
Amid the discussions about the new standardized approach (SMA) for capital requirements of operational risk and the possible extinction of the internal models (AMA), this study analyzes the effects of information asymmetry (a strong characteristic of operational risk) in the interactions between the regulator and the bank regarding the adoption of internal models in the current format. For this, the model adapted from Elizalde e Repullo (2007)Elizalde, A., & Repullo, R. (2007). Economic and regulatory capital in banking: What is the diference? International Journal of Central Banking, 3(3), 87-117. https://www.ijcb.org/journal/ijcb07q3a3.pdf
https://www.ijcb.org/journal/ijcb07q3a3....
was used to study the behavior of the shareholders of the banks in an internal model and the theory of sequential games of asymmetric information to evaluate the interaction between the regulator and the banks. The results indicate that the return to a standardized model, either by the SMA or the current models, forms a Bayesian Perfect Equilibrium strategy, which explains the low adhesion to the AMA even more than one decade after the proposition of this model and suggests the need to create mechanisms to reduce this asymmetry.
