Internal memo attributes changes to increased demand for analytics
New research adds to criticism of proposed op risk capital method
SMA could act as a floor for calculating op risk RWAs, suggests Filippo Curti
Bank treasurers call plan to underpin internal models with standardised floors “unmanageable”
Cladistic analysis shows importance of control failure, crime and fraud
The author of this paper explores the reasons for the pending demise of the advanced measurement approach (AMA) to operational risk.
The aim of this paper is to integrate prior information into a robust parameter estimation via OBR-estimating functions.
Bump to operational risk capital under SMA could be bigger than expected, experts warn
Regulators could rescue op risk modelling through Pillar 2, writes former supervisor
Basel Committee to integrate insurance and divestitures, but SMA still lacks forward-looking approach
Bayesian approach touted for mis-selling and other management failures
Modelling shift to 'crisis mode' mitigates pro-cyclical calculations
The author of this paper assesses operational loss data and its implications for risk capital modeling.
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.
Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?
This paper discusses and studies the weaknesses and pitfalls of the SMA and the implicit relationship between the SMA capital model and systemic risk in the banking sector.
Lack of recognition in new SMA capital charge could cause market to shrink, worry insurers
Sfr270 million transaction by Credit Suisse and Zurich thought unlikely to be copied due to SMA
Op risk researchers criticise logic of planned new capital method
The AMA doesn’t make any sense – but the idea of a single, simple equation does, writes Ruben Cohen
Banks should “get clever and develop their own model” in response to SMA, says UK bank risk manager
Apra wins praise for pushing business case for op risk modelling and scenario analysis
South African academics pioneer a quick and easy way of estimating op risk capital
Researchers offer academic justification for Basel's standardised measurement approach
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.