Scenario analysis
OpRisk North America highlights the limitations of risk management
Original headline:
Source: Operational Risk & Regulation
Discussion at Operational Risk & Regulation’s New York conference focused on limitations of operational risk management, particularly the risks associated with models, data and calculations
Original headline:
Source: Life & Pension Risk
Michael Haackert and Sven Regling look at how the insurance industry could tap into banks’ knowledge and experience in using scenario analysis to help manage operational risk and calculate capital requirements...
Published online only
Source: Risk magazine
OCC regulator warns risk managers to re-examine data integrity and be wary of model risk
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More Scenario analysis articles
Stronger defences needed: stress testing a eurozone break-up
Original headline:
Source: Risk magazine
Banks need more capital if they are to survive the worst eurozone scenarios being envisaged by some institutions, say Barry Schachter and Lance Smith
ORR Innovation Awards: Paper of the year
Original headline:
Source: Operational Risk & Regulation
Nataliya Horbenko, Peter Ruckdeschel and Taehan Bae
Eurozone scenario analysis goes microscopic
Original headline:
Source: Risk magazine
When Risk first wrote about scenario analysis of the eurozone debt crisis in June 2010, banks were sketching out a variety of outcomes and then attaching rough market moves to them. The scenarios themselves were as dramatic as any being considered today...
Need for speed: banks explore FPGAs for portfolio modelling
Original headline:
Source: Risk magazine
It can take hours for traditional bank systems to run portfolio risk models. That’s too slow for some banks, which are now exploring unwieldy – but quick – field-programmable gate arrays. By Clive Davidson
Bank models are built on foundations of sand
Original headline:
Source: Risk magazine
Despite the remarkable advances made over the past 25 years, David Rowe argues the industry’s existing risk models are not fit for purpose when it comes to stress testing and analysis of tail risk
Scenario analysis for the insurance industry
Original headline:
Source: Operational Risk & Regulation
The insurance industry could tap into banks’ knowledge and experience in using scenario analysis to help manage operational risk and calculate capital requirements
The correlation of operational risk with economic scenarios
Published online only
Source: Operational Risk & Regulation
Marcelo Cruz highlights the problems that can arise when analysing the relationship between operational risk and macroeconomic factors
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