Operational risk modelling
Volume 9, Issue 2 (2014)
This three-part series looks at the various factors that firms across the ecosystem of global FX markets - from the buy-side, the sell-side, and the supporting community of technology vendors and service providers - should consider in order to, not just survive, but to thrive in this dynamic and ever-changing environment.
More Operational risk modelling articles
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...
Volume 8, Issue 4, 2013
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
The UK Financial Services Authority should have forced large, sophisticated banks to adopt the advanced measurement approach to operational risk, risk manager argues
Why we quantify
Limits and boundaries
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.