Operational risk modelling
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
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
More Operational risk modelling articles
Volume 9, Issue 2 (2014)
The specification of dependence structures and the assessment of their effects on the total risk capital are still open issues in modeling operational risk. In this paper, we investigate the potential...
In the loss distribution approach, operational risk is modeled in terms of the distribution of sums of independent random losses. The frequency count in the period of aggregation and the severities of...
We propose a new approach for estimating operational risk models under the loss distribution approach from historically observed losses. Our method is based on extreme value theory and, being Bayesian...
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
Failure is a "black eye" for US financial sector, according to Federal Reserve Bank of Richmond unit head
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.