By Bogie Ozdemir and Peter Miu
Accounting model outputs wildly out of sync with those used to calculate regulatory capital requirements
Cladistic analysis shows importance of control failure, crime and fraud
This papers is the first to link bank liquidity performance and core–periphery network structures.
This paper presents a method for approximating the current loan-to-value (CLTV) and remaining principal structures of heterogeneous mortgage loan pools.
Lack of recognition in new SMA capital charge could cause market to shrink, worry insurers
Scott Aguais helps banks go from point-in-time to through-the-cycle, and back again
Bank-style leverage ratio for insurers one option being discussed
Study says 2013 capital rules more in line with actual risk, but can be easily gamed
Basel II versus III: a comparative assessment of minimum capital requirements for internal model approaches
This paper provides a comparative assessment of the minimum capital requirement (MCR) in three prominent versions of the Basel regulatory framework.
AMA can go, but other models will stay, Felix Hufeld tells Risk.net
Data and transparency remain challenges for EBA
Capital requirements incentivise banks and insurers to enhance op risk management
Independent asset management firms catching up with bank- and insurance-owned peers
Application of the convolution operator for scenario integration with loss data in operational risk modeling
This paper addresses the uncertainty in scenario analysis and produces a combined loss distribution.
After 16 years as our risk analysis columnist, David Rowe looks back at a recurring challenge
Firms doubtful about risk sensitivity of standardised replacement charge
New technique may help limit errors in AMA capital estimates
Accountability and learning from past failures key to sound risk culture
OpRisk database sees loss figures improve
Banks would have to raise equity equal to 0.7% of current levels, ESRB finds
Sponsored survey analysis: Protiviti
A new product could smoothe the gap between capital and accounting rules