Modelling shift to 'crisis mode' mitigates pro-cyclical calculations
Losses from discontinued businesses may not count towards op risk capital
Banks say backward-looking SMA is easily gamed and will lead to high and volatile capital charges
BB&T auditor's model shows capital measured by LDA might be pushed up by 16–55%
SMA expected to raise capital charges, but lower standards in risk management
Consultation on scrapping operational risk modelling is now expected in early 2016
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.
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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
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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...