The use of business intelligence and predictive analytics in detecting and managing occupational fraud in Nigerian banks
The goal of this paper is to illustrate how Nigerian banks, and indeed banks elsewhere, can develop solutions that incorporate both BI and predictive analytics techniques in detecting, predicting, preventing and managing occupational fraud.
This paper compares the levels of operational risk disclosure in the banking industries of India and Romania.
The aim of this paper is to provide a new operational risk management framework to identify and mitigate the operational risk exposure arising from a new product.
In this paper, the authors provide a comprehensive review of the different approaches developed to model operational risk, specifically focusing on the actuarial approach.
Global perspectives on operational risk management and practice: a survey by the Institute of Operational Risk (IOR) and the Center for Financial Professionals (CeFPro)
This paper presents survey results which represent comprehensive perspectives on operational risk practice, obtained from practitioners in a wide range of countries and sectors.
In this paper, the author looks at what issues are created through linguistic variation when users of a language or languages attempt to ensure that there is a shared conceptual understanding in the financial domain.
This paper analyzes the cost of putting aside capital as skin in the game (SITG).
The aim of this paper is to propose a model that describes the integration of knowledge-based risks (via the processes of knowledge-based risk identification, analysis, evaluation and education) and knowledge-based risk repositories to support risk…
This paper is a historical case study of the GAS scandal and is the first to analyze it from the perspective of operational risk.
One for my baby (and one more for the road): incentives, default waterfalls and central counterparty skin-in-the-game
In this paper, the authors argue that both for-profit central counterparties and their clearing members should contribute to the default waterfall, with a CCP’s two contributions coming directly before and directly after the tranche of clearing member…
This paper deals with the unprecedented equity volatility in the second week of February 2018. The paper recaps the week, places the market movement in a historical context, discusses how some traders and funds were affected and offers a few guesses as…
This paper examines how the Kelly criterion can be implemented into a portfolio optimization model that combines risk and return into a single objective function using a risk parameter.
Bridging networks, systems and controls frameworks for cybersecurity curriculums and standards development
This paper proposes a risk management framework designed to facilitate the alignment, integration and streamlining of professional practice standards and computer science/cybersecurity educational curriculums by bridging NPNATFs, SNIFs and RMCPFs.
In this paper, the authors address the issue of an efficient people-risk capital allocation for financial institutions.
A note on the standard measurement approach versus the loss distribution approach–advanced measurement approach: the dawning of a new regulation
This paper presents a nonexhaustive review of the literature on operational risk quantification under a combination of the loss distribution approach model – the most commonly used of the AMA models – and extreme value theory.
By extending the Kelly criterion to a simple probabilistic model with an additional tail risk outcome associated with uncertainty, this paper looks beyond risk and evaluates how uncertainty constrains optimal leverage.
This paper contributes to the literature on the recovery and resolution of central counterparties (CCPs) by exploring the key components of the recent European legislative proposal on the recovery and resolution of CCPs, its main differences with the…
This paper borrows concepts from measurement, test and psychometric theories to explore the issue of credit ratings in the Mexican corporate bond market.
The issues with the standardized measurement approach and a potential future direction for operational risk capital modeling
This paper discusses the criticism and praise the SMA and AMA have received, respectively, in many recent articles.
This paper is meant to serve as a comparison of the approaches and margin models employed by CCPs.
In this paper, a structural model is presented for estimating losses associated with the mis-selling of retail banking products. It is the first paper to consider factor-based modeling for this operational/conduct risk scenario.
This paper considers the claim of improved comparability of SMA outcomes by considering the ability to compare “internal loss experience” between banks.
Operational risk and the three lines of defence in UK financial institutions: is three really the magic number?
This paper examines the three lines of defence in the context of ORM in UK financial institutions.