Advanced measurement approach (AMA)
EU G-Sibs add €2.7bn of op RWAs in 2018
Op risk charge anticipated to jump €21.5 billion under Basel III
Op risk past is prologue for UK banks
UK banks will not be allowed to forget past misdeeds
Op risk capital to jump 45% for European banks under Basel III
Some banks could see capital increases of more than 60%
Op risk capital: looking back in anger
Top 10 op risks survey shows industry has sights set on the horizon, even when regulators are looking backwards
One-third of US G-Sib capital due to op risk
Op risk share of total RWAs has increased over three years
ING trims op risk charge by 11% in 2018
Bank benefits from AMA model upgrades
Banks divided on op risk approaches
EU banks favour standardised approach, North American and Australian lenders the AMA
Basel turns its attention to operational resilience
New working group will focus on business continuity in the age of cyber threats
EU G-Sibs cut $14 billion in op risk
Banco Santander posted the largest decline – at 7% – with op RWAs falling to $70 billion
Basel III op risk capital savings dissipate for G-Sibs
Median savings shrink to 5.1% from 19% at end-2015
JP Morgan cuts op risk RWAs by $12.5 billion
Operational RWAs down to $387.6 billion from $400 billion in the second quarter
Forward-looking and incentive-compatible operational risk capital framework
This paper proposes an alternative framework for setting banks’ operational risk capital, which allows for forward-looking assessments and limits gaming opportunities by relying on an incentive-compatible mechanism.
European banks junk op risk modelling
Barclays and BNP Paribas move to standardised approach in the second quarter
Wells Fargo adds $2 billion to op risk capital
Risk-weighted asset increases follow wave of regulatory sanctions
Top European banks shed $32 billion in op risk
5% average drop across 16 European banks reported quarter to quarter
UBS’s CRO on the hunt for hidden risks
Swiss bank has rung the changes in its attempt to catch hard-to-measure risks, but “you are never safe”, warns Christian Bluhm
UBS faces capital hike from credit model curbs
Bank estimates Sfr35 billion jump in RWAs from Basel III, with credit modelling one driver, says CRO Bluhm
Switch to standard model boosts BNP Paribas’ op risk
Operational RWAs grow €6 billion in the second quarter
Quants tout exposure-based approach to op risk modelling
Ebor especially suited to modelling loss events such as legal claims, say proponents
Citi’s CRO on the importance of risk sensitivity
Brad Hu talks modelling, CECL and setting risk culture
Actionable data breach insights from op risk modelling
Thomas Lee, chief executive at VivoSecurity, and Martin Liljeblad, operational risk manager at MUFG Americas, examine how a data breach cost model can replace an advanced measurement approach in a structured scenario
Op risk standard will hike capital by 11% – latest data
Rises in capital under SMA will vary depending on regulator treatment, writes op risk expert
An operational risk capital model based on the loss distribution approach
In 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.
New method proposed for modelling large op risk losses
Outsize loss events modellable through extension of approach to measuring moderate losses, says research