Advanced measurement approach (AMA)
Fed economist sounds alert over op risk capital arbitrage
Insurance payouts could allow banks to pare back capital without equivalent reduction in risk, says paper
Four in five European banks don’t model their op risks
Advanced measurement approach is the preserve of large banks
Must do better – Apac slow to curb control risk
Asia Risk 25: Even as the level of regulatory scrutiny peaks, meaningful change eludes the region’s banks
ING’s op risk charge jumped €228m in Q3
Op RWAs had been falling since Q3 2019
Systemic US banks’ RWAs edge lower in Q3
Bank of America reaps benefit of op risk cut
Banks warn of rise in ransomware attacks
OpRisk Europe: Banks must improve resilience of remote-working staff, says Wells Fargo financial crime expert
Goldman’s op RWAs climb $13bn on 1MDB settlement
Bank settled with Malaysian government for $2.5 billion in July
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