The authors propose and demonstrate the value of a model with which mathematical techniques can be applied to analytically calculate means, variances and covariances more accurately than Monte Carlo simulations.
The authors put forward a workflow for using text analysis to identify underlying risks in operational risk event descriptions.
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Second quarterly rise in a row erases most of the reduction in the first half of 2022
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Despite more fraud and crypto crime, firms’ op risk losses fall in number and in volume. Data by ORX News
Former LCH risk chief says sharing loss data would help CCPs avoid risk of holding too little capital, or too much
This paper analyses the components of central counterparty (CCP) capital requirements and makes several observations on the potential for loss absorption.
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