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Homeen-gbIntegrating internal and external loss data via an equivalence principleThe authors put forward a means address data scarcity in operational risk modelling by supplementing internal loss data with external loss data.
https://www.risk.net/journal-of-operational-risk/7959790/integrating-internal-and-external-loss-data-via-an-equivalence-principle
https://www.risk.net/journal-of-operational-risk/7959790/integrating-internal-and-external-loss-data-via-an-equivalence-principle
Wed, 07 Aug 2024 13:54:08 +0100 Estimating the probability of insurance recovery in operational riskThe authors put forward a novel methodology for the estimation of probability of insurance recovery.
https://www.risk.net/journal-of-operational-risk/7959042/estimating-the-probability-of-insurance-recovery-in-operational-risk
https://www.risk.net/journal-of-operational-risk/7959042/estimating-the-probability-of-insurance-recovery-in-operational-risk
Fri, 23 Feb 2024 10:47:25 +0000 An investigation of cyber loss data and its links to operational riskThis paper investigates cyber loss data and focuses on quantifying the direct financial and compensatory losses emanating from cyber risks.
https://www.risk.net/journal-of-operational-risk/7024951/an-investigation-of-cyber-loss-data-and-its-links-to-operational-risk
https://www.risk.net/journal-of-operational-risk/7024951/an-investigation-of-cyber-loss-data-and-its-links-to-operational-risk
Wed, 25 Sep 2019 11:20:32 +0100 An 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 +0000Ruben D CohenThe 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 +0100Ruben D Cohen