Advanced measurement approach (AMA)
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...
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
More Advanced measurement approach (AMA) articles
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...
Welcome to the fourth issue of the ninth volume of The Journal of Operational Risk. This year has been a watershed year for operational risk, with large operational losses constantly making the headlines....
Sponsored webinar: Metricstream
Operational risk head calls for better benchmarking across industry
Assessing exposures and vulnerabilities gives sophisticated risk view
AMA risk management and op risk modelling cannot succeed by data alone
Regulator warns reaching common standard will be difficult
Regulators want more consistency - and some are questioning AMA
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.