Advanced measurement approach (AMA)
This paper makes use of the power-law mimicry properties of the truncated lognormal distribution and shows how they fit operational risk data considerably well.
OpRisk Asia: Revised standardised approach an improvement but no panacea
Risk managers should be aware of unconscious flaws in estimation
More Advanced measurement approach (AMA) articles
Banks round on one-size-fits-all rules for market, credit and op risk
Supervisors would benefit by learning about latest industry techniques
Highlights from London event
PRA capital methodology will change rules for modelling
Reducing model diversity may endanger AMA's risk management benefits
ABSTRACT In this paper, we propose a copula-free approach for modeling correlated frequency distributions using an Erlang-based multivariate mixed Poisson distribution.We investigate some of the properties...
Insurer’s head of op risk and Oric chairman promotes holistic approach
Proposals for revised standardised approach receive mixed response
HSBC affair highlights a problem with modelling op risk capital
Some banks shy away from the op risk method under review
Modelling operational risk capital provides insight into banks’ weak spots
Regulators argue a backstop is needed to avoid too-low modelled numbers
It is well-known that any risk management activity is a cost to the organization. However, optimized risk management practices satisfy regulatory capital requirements and gain the confidence of investors...
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.