Quants tout exposure-based approach to op risk modelling

Ebor especially suited to modelling loss events such as legal claims, say proponents


Operational risk modelling has long been viewed as something of an alchemic process, reliant to a greater or lesser degree on making sense of patterns in historical losses to predict future capital requirements. Now, a group of op risk experts is proposing an alternative quantification technique based instead on current exposures and event frequencies – an approach the experts say has longevity for banks, even after the current internal models regime is scrapped.

The approach, dubbed the

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: