Scenario analysis: the way forward

It Is almost a truism that operational risk measurement is a beast of a very different stripe from the measurement of market and credit risk – it's an altogether more elusive creature – but the extent of the difference has become clearer since banks started to explore the use of scenario analysis.

By Duncan Wood

Scenario analysis is one of the four elements that the Basel Accord requires banks to use as an input to the advanced measurement approach (AMA) for op risk capital – the other three

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Calibrating interest rate curves for a new era

Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

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