Basel II does not specify a particular approach or distributional assumptions for the AMA-based models for the operational risk capital charge. This flexibility inherent in AMA creates a broad range-of-practice that makes comparison/benchmarking of the model results a significant challenge for the validation teams and the supervisors. Furthermore, the ultimate object of interest, the .999 quantile of the aggregate loss distribution over a one-year time horizon, combined with the heavy-tailed nature of

the operational losses make the process particularly sensitive to choice of alternative models and underlying assumptions. In this talk, we focus on the practical challenges faced in the validation of AMA models, particularly with respect to high tail estimation, tail dependence, and model uncertainty.