Operational risk modelling
Apac banks fear cyber risk capital shortfall under SMA
Method’s reliance on past losses and lack of scenario analysis could weaken cyber risk defences
Basel op risk modelling blow shifts focus to Pillar 2
Demise of AMA leaves industry needing risk-sensitive approach for calculating top-up capital, says consultant
Apac banks dodge op risk capital hit from new rules
Chinese lenders have largest capital requirements in region; banks expect muted increase on average
Basel III: final op risk framework leaves banks guessing
Analysis suggests big capital savings on average, but uncertainty persists over uneven implementation
How to save op risk modelling
Drop loss categories and correlations and adopt simple loss distribution, advises AMA expert
Bank cyber chiefs grope for sound risk models
Vast scope of threats makes modelling unfeasible, say practitioners
Op risk managers not sold on SMA alternative
Proposed forward-looking approach would permit internal modelling, but penalise banks if losses exceed estimates
Banks move to model smaller op risk losses
Credit Suisse is using scenario analysis to model the risks associated with internal fraud losses
On a family of weighted Cramér–von Mises goodness-of-fit tests in operational risk modeling
This paper applies classical theory to determine if limiting distributions exist for WCvM test statistics under a simple null hypothesis.
Don’t let the SMA kill op risk modelling
The SMA is not a good response to the AMA’s failings – but don’t throw the baby out with the bathwater
HSBC shakes up risk analytics team
Internal memo attributes changes to increased demand for analytics
Europe’s banks fret over US stress tests
CCAR could expose weaknesses in capital planning at foreign banks
Op risk family tree challenges Basel’s business line focus
Cladistic analysis shows importance of control failure, crime and fraud
Operational risk models and asymptotic normality of maximum likelihood estimation
In this paper, the author studies how asymptotic normality does, or does not, hold for common severity distributions in operational risk models.
The benefit of using random matrix theory to fit high-dimensional t-copulas
This paper uses simulation studies and an example of operational risk modeling to show the necessity and benefit of using RMT to fit high-dimensional t-copulas in risk modeling.
Two-regime approach saves up to 30% op risk capital
Modelling shift to 'crisis mode' mitigates pro-cyclical calculations
Basel’s Adachi: banks may discard some loss data under SMA
Losses from discontinued businesses may not count towards op risk capital
SMA proposal fires up op risk managers
Banks say backward-looking SMA is easily gamed and will lead to high and volatile capital charges
Correlation of op risk losses could send capital soaring
BB&T auditor's model shows capital measured by LDA might be pushed up by 16–55%
Basel op risk plans 'not fit for purpose', say banks
SMA expected to raise capital charges, but lower standards in risk management
Basel op risk reform proposal expected to be delayed
Consultation on scrapping operational risk modelling is now expected in early 2016
Random matrix theory applied to correlations in operational risk
This paper focuses on the distribution of correlations among aggregate operational risk losses.
A weighted likelihood estimator for operational risk data: improving the accuracy of capital estimates by robustifying maximum likelihood estimates
This paper proposes the use of a robust generalization of MLEs for the modeling of operational loss data.
Highlights from OpRisk Europe conference 2015
Exclusive coverage of London event