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.
Exclusive coverage of London event
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
Advantages include lower costs and capital
Basel Committee mulling altered AMA – or even replacement with RSA
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A simple model highlights how AMA capital requirements can change dramatically
Systemically important status is hard enough when you're a bank – for non-bank institutions such as GE Capital, meeting the mark can be even more challenging. Enterprise and operational risk leader Ann Rodriguez discusses the reform process with OpRisk