Consultation on scrapping operational risk modelling is now expected in early 2016
IBM Business Analytics helped the insurers develop powerful “what if” analysis capabilities for economic capital and beyond
IBM Software Business Analytics
This paper focuses on the distribution of correlations among aggregate operational risk losses.
A weighted likelihood estimator for operational risk data: improving the accuracy of capital estimates by robustifying maximum likelihood estimates
This paper proposes the use of a robust generalization of MLEs for the modeling of operational loss data.
Exclusive coverage of London event
Quantifying risks useful, but only when informing decision making
Banks and regulators urged to up their game in stress tests and scenario analysis
Risk managers urged to focus on group dynamics
Advantages include lower costs and capital
Basel Committee mulling altered AMA – or even replacement with RSA
Volume 9, Issue 2 (2014)
A simple model highlights how AMA capital requirements can change dramatically
Systemically important status is hard enough when you're a bank – for non-bank institutions such as GE Capital, meeting the mark can be even more challenging. Enterprise and operational risk leader Ann Rodriguez discusses the reform process with OpRisk
Dutch bank Rabobank has shaken off its Libor label pretty quickly, leaving it to focus on its co-operative roots, the AMA and its RCSA roll-out. Anne Snel-Simmons, head of operational risk management at Rabobank, talks to OpRisk about the challenges...
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