Joachim Pfeifer, formerly head of operational risk at Commerzbank, describes the bank's journey towards advanced measurement approach approval
When estimating loss given default (LGD) parameters using a workout approach, ie, discounting cashflows over the workout period, the problem arises of how to take into account partial recoveries from incomplete...
ORX chairman says Basel II definition is fundamentally flawed
This panel will discuss ways to allocate resources and minimize potential exposure with a set of analytical tools to assess, simulate and quantify operational risk capital to improve business efficiency and performance across the enterprise.
More Basel ii articles
Sigor chair says review focus will be on capital model credibility and comparability
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 learnin...
Higher capital requirements would incentivise banks to fix their problems more than fines, says Craig Spielmann at RBS
Paper of the year: JD Opdyke and Alexander Cavallo
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...
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"....
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...
Implementation of Dodd-Frank Act raises op risk concerns, conference hears
Failure is a "black eye" for US financial sector, according to Federal Reserve Bank of Richmond unit head
Defining reputational risk still a challenge for risk managers, panel says
Some banks calculating measures that are 3% of the median in Basel Committee study, while others are more than 2,500%
Regulators are bracing for fresh criticism of bank capital modelling, say industry sources
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.