Operational risk capital
Scarcity of applicable data is a perennial problem for modelling op risk losses. Bayesian estimation is a far from universally accepted technique – but Bakhodir Ergashev, Stefan Mittnik and Evan Sekeris...
The quantification of diversification benefit plays a critical role in quantitative risk models, especially within the context of regulatory and economic capital. However, the complexity of today's risk...
More Operational risk capital articles
Regulators are seeking higher op risk capital levels due to the impact of events several years ago – which is difficult to explain to bank boards
Increasing spread of operational risk losses linked to fines in this year's survey of op risk at the world's 100 largest banks
ORX chairman says Basel II definition is fundamentally flawed
Higher capital requirements would incentivise banks to fix their problems more than fines, says Craig Spielmann at RBS
Swings in op risk capital traced to flaws in MLE
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 kind of normality. However, the usual hiccups are still part of the picture. The disaster scenarios...
Solvency II shines a light on operational risk for insurers that is welcomed by many, but its continued delays and loss of momentum have left the industry questioning whether this focus is slowly disappearing. From the stunted growth of internal model...
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.
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