In this paper, the authors propose the SDR risk measure to consider the degree of dispersion of an extreme loss in addition to its expected value.
This issue contains four technical papers. Two of which deal with an analysis of the SMA, one paper deals with data and another tackles statistical issues around the quantification of operational risk.
Comments on the Basel Committee on Banking Supervision proposal for a new standardized approach for operational risk
In this paper, the behavior of the SMA is studied under a variety of hypothetical and realistic conditions, showing that the simplicity of the new approach is very costly.
Performance and risk offer two complementary views of investment management. It’s time to swap some DNA
How to turn uncertainties of operational risk capital into opportunities from a risk management perspective
Going beyond the regulatory requirements to operational risk measurement, the authors of this paper aim to provide relevant business applications to a bank.
Search for plausible stress scenarios leads Natixis risk managers in a new direction
KRIs are useful tools, say risk managers, but can also be a source of frustration
“The predominant risks the bank faces have shifted since the end of the financial crisis,” says Rosenberg
The authors of this paper propose to quantify the effectiveness of a capital estimation procedure via the notions of residual estimation risk and estimated capital risk.
Cakes and candles can help risk managers get flavour right, argues Ariane Chapelle
Capital allocation principles are used in various contexts in which the risk capital or the cost of an aggregate position has to be allocated between its constituent parts.
Stress testing is a vital part of successful risk management, but risk managers at energy trading firms frequently face obstacles in designing and implementing successful stress testing programmes. In this article, Carlos Blanco provides some advice on...