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Homeen-gbAn operational risk capital model based on the loss distribution approachIn this paper, the author constructs a capital model for operational risk based on the observation that operational losses can, under a certain dimensional transformation, converge
into a single, universal distribution.
https://www.risk.net/journal-of-operational-risk/5603111/an-operational-risk-capital-model-based-on-the-loss-distribution-approach
https://www.risk.net/journal-of-operational-risk/5603111/an-operational-risk-capital-model-based-on-the-loss-distribution-approach
Fri, 18 May 2018 14:31:30 +0100 How to save op risk modellingDrop loss categories and correlations and adopt simple loss distribution, advises AMA expert https://www.risk.net/comment/5362691/how-to-save-op-risk-modelling
https://www.risk.net/comment/5362691/how-to-save-op-risk-modellingTue, 28 Nov 2017 12:49:15 +0000The issues with the standardized measurement approach and a potential future direction for operational risk capital modelingThis paper discusses the criticism and praise the SMA and AMA have received, respectively, in many recent articles.
https://www.risk.net/journal-of-operational-risk/5313961/the-issues-with-the-standardized-measurement-approach-and-a-potential-future-direction-for-operational-risk-capital-modeling
https://www.risk.net/journal-of-operational-risk/5313961/the-issues-with-the-standardized-measurement-approach-and-a-potential-future-direction-for-operational-risk-capital-modeling
Tue, 29 Aug 2017 09:54:03 +0100 An assessment of operational loss data and its implications for risk capital modelingThe author of this paper assesses operational loss data and its implications for risk capital modeling.
https://www.risk.net/journal-of-operational-risk/2470193/an-assessment-of-operational-loss-data-and-its-implications-for-risk-capital-modeling
https://www.risk.net/journal-of-operational-risk/2470193/an-assessment-of-operational-loss-data-and-its-implications-for-risk-capital-modeling
Mon, 12 Sep 2016 12:21:00 +0100 Even for me, AMA models are too complicatedThe AMA doesn’t make any sense – but the idea of a single, simple equation does, writes Ruben Cohen https://www.risk.net/risk-management/2463416/even-for-me-ama-models-are-too-complicated
https://www.risk.net/risk-management/2463416/even-for-me-ama-models-are-too-complicatedTue, 05 Jul 2016 10:46:00 +0100