Operational risk loss data – December 2013
PPI complaints continue to fall as banks hasten payouts
Loss of trust in internet could equal 2008 credit crunch, report warns
The Certificate in Quantitative Finance is a global quant program that focuses on teaching practical quant techniques used in risk management.
Join us online to learn more: 11 December
More Operational risk articles
JP Morgan's fourth-quarter loss highlights reputational impact of scandals
Industry unclear on future of Bitcoin
OpRisk prepares to name the individuals and companies who have led the industry through 2013
Initial service will focus on bank policies, but Swift aims to expand
Protection for whistleblowers not clear cut
This paper examines the credit default swap (CDS) market's reaction to operational risk events in the banking industry, and thus addresses the question of the extent to which operational risk affects the...
The specification of dependence structures and the assessment of their effects on the total risk capital are still open issues in modeling operational risk. In this paper, we investigate the potential...
In the loss distribution approach, operational risk is modeled in terms of the distribution of sums of independent random losses. The frequency count in the period of aggregation and the severities of...
We propose a new approach for estimating operational risk models under the loss distribution approach from historically observed losses. Our method is based on extreme value theory and, being Bayesian...
Modeling dependence among operational loss frequencies is a natural way of trying to capture possible relationships between losses that have occurred simultaneously but that are categorized differently...
Nonstationarity in operational risk loss data time series is a known effect, but has so far rarely been analyzed in detail. Taking transaction banking as a segregated object of study, a simple model presented...
Volume 8, Issue 4, 2013
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.