Basel ii
Standardise op risk reporting, RBS’s Spielmann says
Despite the crisis giving operational risk the recognition it deserves, its value continues to be called into question. Craig Spielmann, head of operational risk at RBS Americas, talks about learning from...
Economic growth has leapt ahead of Indonesian banks’ ability to assess the credit risk they are being exposed to – but with the central bank finally implementing Basel II is there a regulatory solution...
Higher capital requirements would incentivise banks to fix their problems more than fines, says Craig Spielmann at RBS
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How banks needs to consider their IT infrastructure
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More Basel ii articles
Paper of the year: JD Opdyke and Alexander Cavallo
Swings in op risk capital traced to flaws in MLE
Benefits and pitfalls of a risk taxonomy
Rigorous classification of operational risks can be the foundation of a good risk framework – but it's easy to get wrong, warns Marcelo Cruz
Credit portfolio models in the presence of forward-looking stress events...
We describe a method, based on the Merton model, to improve credit portfolio models by adding to the underlying distributions forward-looking tails deducted through the Bayesian networks technology. Given the forward-looking stance of the approach, its...
Systemic operational risk: does it exist and, if so, how do we regulate...
Since the global financial crisis, banking regulators and academics have extended the traditional, narrow definition of "systemic risk" to encompass concepts such as "interconnectedness" and "shadow banking". But, at the time of writing, a definition...
Latest Issue: Volume 8/Number 1, Spring 2013
Marcelo Cruz Welcome to the first issue of the eighth volume of The Journal of Operational Risk. As spring knocks on our doors we seem to be living through another round of optimism in the financial industry, with people hoping we will return to some...
The survival analysis approach in Basel II credit risk management: modeling...
In the last three years most European banking groups have chosen to adopt Basel II "advance status". This has required banks to develop statistical models for estimating probability of default, loss given default and exposure at default within a horizon...
Latest Issue: Volume 9/Number 1, Spring 2013
Ashish Dev JPMorgan Chase, New York In this issue of The Journal of Credit Risk we present three full-length research papers and one technical report. The issue's first paper, "Debt structure, market value of firm and recovery rate", is by Min Qi...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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