Basel II
The IMA map: charting market risk capital under Basel 2.5
The current market risk framework refuses to be superseded. Risk.net dissects banks’ disclosures to explore how trading book capital requirements have evolved
Operational risk modeling under the loss distribution approach: estimation of operational risk capital by business line versus risk category
The authors apply the loss distribution approach to operational risk data, contributing to understandings of the composition and distribution of operational risk data across risk classes and the corresponding operational risk capital requirements
Operational risks: trends and challenges
The authors carry out a systematic literature review of operational risk research to determine the current state of operational risk research in financial institutions.
Tall order: why a unified op risk taxonomy is still elusive
Banks vary in how they classify operational risk losses – and regulators are in no rush to change the status quo
Operational risk and regulatory capital: do public and private banks differ?
The authors investigate relationships between operational risk and regulatory capital in Indian public and private banks.
Application of the radial basis function in solving an operational risk management model: investigating the probability of bank survival with risk reserves
The authors investigate the probability of bank survival in relation to operational risk and risk reserve and calculate the amount of risk storage necessary to achieve the desired probability of survival.
Systemic operational risk in the Australian banking system: the Royal Commission
The author investigates the Royal Commission into Misconduct in the Banking, Superannuation and Financial Services Industry and its most prominent cases, as well as detailing examples of operational risk events that the commission did not cover.
How climate change may impact operational risk
This paper uses the ten laws of operational risk along with taxonomies for inadequacies or failures and their impacts, and it also draws parallels with past crises, in order to make systematic predictions.
The status of people risk management in UK banks
This paper examines how people risk is managed in banks using interview data obtained from operational risk management experts working in the UK banking sector.
BMO sees $6.3bn RWA increase from capital floor add-on
The bank is the first of Canada’s big five to be bound by the floor as implemented in 2018
Modeling credit risk in the presence of central bank and government intervention
In this paper a simple approach for including central bank and government intervention in credit models is developed and illustrated using the Fed’s data for the CCAR 2021 stress test.
Op risk data: Mouldy money makes big stink for NatWest
Also: Santander plays Santa; JPM in messaging mayhem; ‘Sterling Lads’ cost HSBC a couple of bricks. Data by ORX News
Credit risk & modelling – Special report 2021
This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.
Commerzbank’s op RWAs rise €1.2bn on SA switch
Transition to new framework under Basel II pushes op risk to two-year high
Counterparty risk solution of the year: Moody’s Analytics
Asia Risk Awards 2021
Bank leverage and capital bias adjustment through the macroeconomic cycle
The author assesses the quantitative effects of the recent proposal for more robust bank capital adequacy.
FRTB comes too late for Covid crisis
Expected shortfall would stop Basel 2.5 duplicate capital charges, but backtesting still a problem
A sensitivity analysis of the alpha factor
In this paper, we investigate the alpha factor’s sensitivity to key model parameters under stylized portfolio assumptions in order to better understand its complex characteristics. Our analysis is based on the numerical simulation of alpha sensitivities…