Vast scope of threats makes modelling unfeasible, say practitioners
Proposed forward-looking approach would permit internal modelling, but penalise banks if losses exceed estimates
Credit Suisse is using scenario analysis to model the risks associated with internal fraud losses
This paper applies classical theory to determine if limiting distributions exist for WCvM test statistics under a simple null hypothesis.
The SMA is not a good response to the AMA’s failings – but don’t throw the baby out with the bathwater
By Sergio Scandizzo
By Sergio Scandizzo
Internal memo attributes changes to increased demand for analytics
CCAR could expose weaknesses in capital planning at foreign banks
Cladistic analysis shows importance of control failure, crime and fraud
In this paper, the author studies how asymptotic normality does, or does not, hold for common severity distributions in operational risk models.
This paper uses simulation studies and an example of operational risk modeling to show the necessity and benefit of using RMT to fit high-dimensional t-copulas in risk modeling.
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