Operational risk modelling
Dependencies between risk types are a vital part of any risk model – but the choice of how to represent them can be critically important to the result of a capital calculation
Within the loss distribution approach framework, the required capital is the 99.9% value-at-risk of the annual loss distribution, which is based on the fit of the severity and frequency distributions using...
Banks should not abandon complex risk models just because they failed during the financial crisis, conference hears
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Operational risk modelling articles
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...
Failure is a "black eye" for US financial sector, according to Federal Reserve Bank of Richmond unit head
The UK Financial Services Authority should have forced large, sophisticated banks to adopt the advanced measurement approach to operational risk, risk manager argues
Zurich's chief risk officer for general insurance, Steve Wilson, talks about why quantifying op risk is so important
Discussion at Operational Risk & Regulation’s New York conference focused on limitations of operational risk management, particularly the risks associated with models, data and calculations
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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