Advanced measurement approach (AMA)
Data error inflated Wells Fargo’s op risk capital by $5 billion
Sharp fall in Q1 RWAs followed removal of duplicate data
Though Covid crisis rages, US banks’ op RWAs fall
Wells Fargo sees op RWAs fall $2.9 billion
Op RWAs tumble €3bn at Commerzbank in Q4
Op risk capital requirement the lowest for at least nine years
Op risk modelling limited to largest EU banks
Smallest banks do not use AMA at all
Five eurozone G-Sibs cut op RWAs in Q3
Deutsche Bank cut €5.7 billion quarter on quarter
Wells Fargo op risk charge jumps $3.6bn in Q3
San Francisco-based lender still bound by standardised capital approach
Deutsche’s op RWAs fall 7% in Q3
Wind-down of ‘bad bank’ cuts €3.2 billion in op RWAs alone
PRA grants Barclays £1bn op risk capital relief
Op RWAs fall to £42.5 billion in Q3
Banks detect daylight between EC and EBA on op risk capital
EC consultation seeks input on ‘cliff effects’ of including past losses
On the selection of loss severity distributions to model operational risk
This paper presents truncation probability estimates for loss severity data and a consistent quantile scoring function on annual loss data as useful severity distribution selection criteria that may stabilize regulatory capital.
Uniform? Op risk capital rules go their own ways
Europe and Canada set to include historical losses in new standardised approach; Australia probably not
Goldman’s op RWAs fall 8% in Q2
Removal of op risk events from AMA model dataset reduced capital requirement
ABN Amro cuts op RWAs by €1bn
Model updates lower AMA-calculated portion of op risk capital
Barclays seeks op risk capital relief
Bank claims that lifting of capital floor would raise CET1 ratio roughly 60 basis points
Model update pushes ING’s op RWAs up 17%
Changes to AMA model behind €6.2 billion uplift
Eurozone G-Sibs’ op RWAs fall €8.1bn in Q1
Deutsche Bank led the charge with €6.4bn reduction
ABA scenario analysis project could aid CCAR comparability
Scheme to agree on common risk drivers could help Fed benchmark risk exposures, says JP op risk expert
RBNZ places country’s largest bank under scrutiny
ANZ must report on director oversight and capital levels
Higher op risk charge follows UBS tax fraud verdict
Clash with French courts adds $2.8 billion to op RWAs
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