Operational risk modelling
EU tweaks set to temper Basel III capital hike by a third
Changes to required capital for credit risk expected to be main driver behind average reduction
Modeling systemic operational risk in the Covid-19 pandemic
This paper introduces existing and novel epidemiology models and investigates how government responses to the Covid-19 pandemic impacted these models.
The evolution of liquidity risk management
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Op risk data: Morgan Stanley, Capital One’s data breach double trouble
Also: Citi shells out $45m for misleading stock trading info; coding clangers cost Credit Suisse $9m. Data by ORX News
Op risk data: Mashreq fined $100m for Sudan sanctions busting
Also: Westpac client scams go west; Navient and AFTS schooled over student loan misrule. Data by ORX News
SA extends reach over EU banks’ market and op risk
Regulator-devised models have been capturing a bigger chunk of RWAs through the pandemic
Op risk data: Deep woe as deep voice clone cons UAE bank
Also: ING mirrors ABN client loan loss; CS lands huge fine for tuna bonds. Data by ORX News
Credit Suisse set for op RWA hike as litigation charges pile on
Sfr1bn increase expected to accrue over the next six months
Basel III heralds 41% op risk jump for EU banks
Capital requirements set to rise almost 88% for those G-Sibs that don’t currently use the AMA
Op risk data: DeFi-ant crypto hacker steals $610m
Also: Amundi fined for index manipulation; Wells pays out over client fraud. Data by ORX News
Op risk data: Westpac and Sumitomo among four banks hit by $359m fraud
Also: Misinformation in Lloyds Bank insurance renewals; AML fail at Amex France. Data by ORX News
On modeling contagion in the formation of operational risk loss
This paper models an overall operational risk loss caused by the accumulation of intermediate losses incurred at each process via a mechanism of network contagion across distinct processes within the boundary of a bank.
Commerzbank’s op RWAs hit 10-year low
The bank added 20bp to its CET1 capital ratio in Q1
The economic cost of a fat finger mistake: a comparative case study from Samsung Securities’s ghost stock blunder
This paper quantifies the economic cost of Samsung Securities’s ghost stock blunder using the synthetic control method.
Top 10 operational risks for 2021
The biggest op risks for the year ahead, as chosen by senior industry practitioners
Op risk data: Chronic corruption charges cost Deutsche dear
Also: Wells Fargo fee fight; Nasdaq queers Emir reg; Covid keeps AML fines in line. Data by ORX News
Four in five European banks don’t model their op risks
Advanced measurement approach is the preserve of large banks
Is there anybody out there? Detecting operational outages from Large Value Transfer System transaction data
This paper develops a method to identify operational outages of participants in the Canadian Large Value Transfer System (LVTS).
US systemic banks’ op risk charges fell in Q3
Bank of America’s charge falls 26% following a model change
ING’s op risk charge jumped €228m in Q3
Op RWAs had been falling since Q3 2019
Op risk data: Record $920m fine for JP metals ploy
Also: counting the cost of Covid cons; Citi audio dynamite. Data by ORX News
Banks aim to close op risk stress test capital gap
Standardising stress drivers could help smooth differences between bank loss estimates
Op risk data: Revlon lenders won’t make up over Citi error
Also: Cyber fines on the up; and more fat-finger fails of yore. Data by ORX News
Goldman’s op RWAs climb $13bn on 1MDB settlement
Bank settled with Malaysian government for $2.5 billion in July