Advanced measurement approach (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
Share of op risk RWAs at US banks falls
Drops at Citi, Goldman, Morgan Stanley suggest op risk capital may have peaked
Op risk capital: why US should adopt SMA today
No reason to delay roll-out of standardised approach, says TCH’s Greg Baer
Fed’s Curti: SMA will smooth capital mismatches
OpRisk North America: non-US banks holding less capital under own-models approach was “a big problem”, says regulator
CCAR gives op risk modelling a new lease of life
OpRisk North America: Fed’s annual stress tests are rehabilitating ‘black box’ op risk modelling
Top 10 op risks 2018: model risk
Model risk re-enters top 10 amid avalanche of validation regulations