Standing on the threshold

Operational risk modelling frequently uses a loss distribution approach (LDA). For practical reasons, the data utilised normally has certain minimum collection thresholds (MCT). Inaccuracies can occur if MCTs are not sufficiently and methodically considered. Furthermore, in many cases only one distribution is used to model the whole range of loss events. This can result in significant errors in the value-at-risk calculation. We present a three-stage approach to minimising the error in LDA models

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Investment banks: the future of risk control

This survey report explores the current state of risk controls in investment banks, the challenges of effective engagement across the three lines of defence, and the opportunity to develop a more dynamic approach to first-line risk control

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