Mixing, not scaling, best approach for using external losses
This paper studies alternative mixing models for external data for a particular risk class.
Firms doubtful about risk sensitivity of standardised replacement charge
Spreading the net wide enough to catch as many data sources as possible is key to tackling emerging risks
Regulator warns reaching common standard will be difficult
Data-sharing consortiums depend on trust, but individual firms face a prisoner's dilemma whereby providing false information can sometimes be beneficial
Joachim Pfeifer, formerly head of operational risk at Commerzbank, describes the bank's journey towards advanced measurement approach approval
Sponsored webinar: IBM
Operational risk managers need to bear in mind that loss data has limitations, says the FSA’s Andrew Sheen
It's nice to see op risk managers becoming more aware of their limitations
Economies of scale
OCC regulator warns risk managers to re-examine data integrity and be wary of model risk
Marcelo Cruz highlights the problems that can arise when analysing the relationship between operational risk and macroeconomic factors
The Operational Riskdata Exchange says benchmarking is the next step in its effort to help operational risk managers improve their use of scenarios
Learning to share
Analysis of operational risk loss events
Quality over quantity
Japan’s regulator points to Mizuho Financial Group’s operational risk management model as an example for banks in the country to follow. Shigehiko Mori, the group’s head of operational risk, talks about how the model works and his plans for continued...
In a surprise move, First database founder Penny Cagan departs Algorithmics.
BBVA's global head of operational risk, Jordi Garcia, takes a pragmatic, hands-on approach to managing the Spanish bank's op risk. Duncan Wood talks to this veteran of the industry about the unique quality of Spanish loss data, Basel II and life at the...