Cladistic analysis shows importance of control failure, crime and fraud
Banks balk at being on the hook for losses from investments or cyber attack, but many clearers say the risk should be shared
Eight interlocking trends mean more multi-billion-dollar losses to come
The author of this paper explores the reasons for the pending demise of the advanced measurement approach (AMA) to operational risk.
The aim of this paper is to integrate prior information into a robust parameter estimation via OBR-estimating functions.
Megan van Ooyen from SAS rounds up the top five op risk losses for October
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This paper uses simulation studies and an example of operational risk modeling to show the necessity and benefit of using RMT to fit high-dimensional t-copulas in risk modeling.
Huge losses from the 2008 crisis can be seen as a short option position
Regulators could rescue op risk modelling through Pillar 2, writes former supervisor
Risk-taking ought to be judged by its necessity, not likely outcomes, says Ariane Chapelle
KRIs show particular promise for managing operational risk
Megan van Ooyen from SAS rounds up the top five op risk losses for September
Operational risk and the Solvency II capital aggregation formula: implications of the hidden correlation assumptions
The authors of this paper analyze the Solvency II standard formula for capital risk aggregation in relation to the treatment of operational risk capital.
Ken Phelan stresses importance of credit risk management in key Treasury role
Bayesian approach touted for mis-selling and other management failures
Central bank plans “comprehensive rebuild” of payments platform
Modelling shift to 'crisis mode' mitigates pro-cyclical calculations
Setting an op risk appetite is illogical without reference to reward, argues Ariane Chapelle
This issue contains four technical papers. Two of which deal with an analysis of the SMA, one paper deals with data and another tackles statistical issues around the quantification of operational risk.
Comments on the Basel Committee on Banking Supervision proposal for a new standardized approach for operational risk
In this paper, the behavior of the SMA is studied under a variety of hypothetical and realistic conditions, showing that the simplicity of the new approach is very costly.