Measurement
The correlation of operational risk with economic scenarios
Published online only
Marcelo Cruz highlights the problems that can arise when analysing the relationship between operational risk and macroeconomic factors
Original headline:
Op risk managers could make themselves much more valuable to the business by reporting the links between risk indicators and capital levels, Marcelo Cruz writes
Original headline:
An effort to assess systemic risk on the buy side is helpful, but regulators need to remember that the root of the problem is still the sell side, writes Peter Laurens
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More Measurement articles
Truncated or shifted: US debates loss data collection thresholds in...
Original headline:
US regulators are looking again at the impact of loss data collection thresholds on the results from internal data modelling of operational risk at banks. While some banks are collecting loss data down to zero, other firms say data under the threshold...
Using credibility analysis in operational risk measurement
Original headline:
Marcelo Cruz discusses the use of the credibility theory to aggregate different types of operational risk data
New techniques focus US op risk executives on scenario analysis
Original headline:
Use of scenario analysis in the US is on the rise again, as banks adopt new techniques to incorporate estimates into their operational risk capital models
The Atlantic divide over scenario analysis
Original headline:
Scenario analysis is a valid risk measurement tool but it must be used carefully
Credit risk boundary events to be a focus for regulators
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The Basel Committee's Sigor group will spend time on credit risk-related operational risk loss events at its upcoming October meeting in Frankfurt
Regulators seek to change operational risk methodology at October meeting...
Published online only
High-severity events such as the $2.3 billion rogue trading loss at UBS have highlighted the low levels of operational risk regulatory capital firms are holding
AMA and loss data collection on the rise at US banks
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More US banks expected to employ AMA, while new stress-testing proposals increase interest in operational risk quantification among smaller banks
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