Operational risk modelling
UBS faces capital hike from credit model curbs
Bank estimates Sfr35 billion jump in RWAs from Basel III, with credit modelling one driver, says CRO Bluhm
Switch to standard model boosts BNP Paribas’ op risk
Operational RWAs grow €6 billion in the second quarter
Quants tout exposure-based approach to op risk modelling
Ebor especially suited to modelling loss events such as legal claims, say proponents
Share of op risk RWAs at US banks falls
Drops at Citi, Goldman, Morgan Stanley suggest op risk capital may have peaked
Sponsored video: Thomas Lee, Vivo Security
Thomas Lee, chief executive and co-founder of Vivo Security – a start-up firm based in Silicon Valley and sponsors at OpRisk North America – talks about how special the banking industry is to Vivo Security and why its approach to model risk management…
Fed’s Curti: SMA will smooth capital mismatches
OpRisk North America: non-US banks holding less capital under own-models approach was “a big problem”, says regulator
Precise cyber modelling ‘a pipe dream’, expert says
OpRisk North America: Cyber risk models should aim for accuracy, not precision
Top 10 op risks 2018: model risk
Model risk re-enters top 10 amid avalanche of validation regulations
Op risk modelling to survive move to SMA
Models will still be needed to measure forward-looking risks under Pillar 2
Apac banks fear cyber risk capital shortfall under SMA
Method’s reliance on past losses and lack of scenario analysis could weaken cyber risk defences
Basel op risk modelling blow shifts focus to Pillar 2
Demise of AMA leaves industry needing risk-sensitive approach for calculating top-up capital, says consultant
Apac banks dodge op risk capital hit from new rules
Chinese lenders have largest capital requirements in region; banks expect muted increase on average
Basel III: final op risk framework leaves banks guessing
Analysis suggests big capital savings on average, but uncertainty persists over uneven implementation
How to save op risk modelling
Drop loss categories and correlations and adopt simple loss distribution, advises AMA expert
Bank cyber chiefs grope for sound risk models
Vast scope of threats makes modelling unfeasible, say practitioners
Op risk managers not sold on SMA alternative
Proposed forward-looking approach would permit internal modelling, but penalise banks if losses exceed estimates
Banks move to model smaller op risk losses
Credit Suisse is using scenario analysis to model the risks associated with internal fraud losses
On a family of weighted Cramér–von Mises goodness-of-fit tests in operational risk modeling
This paper applies classical theory to determine if limiting distributions exist for WCvM test statistics under a simple null hypothesis.
Don’t let the SMA kill op risk modelling
The SMA is not a good response to the AMA’s failings – but don’t throw the baby out with the bathwater
HSBC shakes up risk analytics team
Internal memo attributes changes to increased demand for analytics
Europe’s banks fret over US stress tests
CCAR could expose weaknesses in capital planning at foreign banks
Op risk family tree challenges Basel’s business line focus
Cladistic analysis shows importance of control failure, crime and fraud