Advanced measurement approach (AMA)
This paper addresses the uncertainty in scenario analysis and produces a combined loss distribution.
Scrapping op risk modelling in Europe could take five years, say lawyers
Firms doubtful about risk sensitivity of standardised replacement charge
More Advanced measurement approach (AMA) articles
AMA's likely demise is latest sign of worrying trend in bank capital rules
Regulators plan to propose single simple method
Welcome to the third issue of Volume 10 of The Journal of Operational Risk. This is a special issue in which two of our four papers come from the CFS Conference on Operational Risk: Management and Measurement,...
Following two regular contributions, this issue of The Journal of Operational Risk contains two papers from the CFS Conference on Operational Risk: Management and Measurement, which took place on March...
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.
This paper proposes the use of a robust generalization of MLEs for the modeling of operational loss data.
Head of op risk supervisory team views tools as 'catalysts for change'
Criticism of Pillar 2 risk insensitivity
OpRisk Asia: Revised standardised approach an improvement but no panacea
Risk managers should be aware of unconscious flaws in estimation
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
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.