Risk and control self-assessments (RCSAs)
Data trouble
Regulators insist that they want a capital charge on banks’ operational risks. But the plan rests on the ability of banks to collect data and model the risks involved, and there’s a frightening lack of agreement on how to do that.
Reconciling ratings
How should internal credit ratings be calibrated to long-term default rates? This multibillion-dollar question is at the heart of the debate over Basel’s IRB approach. In thisarticle, Stefan Blochwitz and Stefan Hohl use simulations to demonstrate wide…
An advanced model for op risk capital calculation
The Basel II regulators need to develop a comprehensive approach to op risk modelling, says Tony Blunden in his final article on the new capital accord.
Do we need a broader definition of op risk?
A definition of op risk should embrace the linkages with market and credit risk, argues Ken Swenson.
Marking the cards at ANZ
Mark Lawrence of ANZ Group describes how the bank chose and developed a “scorecard” approach to measuring operational risks, and how – 12 months after the start of the project –it is already achieving a more efficient allocation of capital.