Loss data
Integrating internal and external loss data via an equivalence principle
The authors put forward a means address data scarcity in operational risk modelling by supplementing internal loss data with external loss data.
Op risk data: UBS takes a giant Greensill pill
Also: Nasdaq insider trading rap; Trafigura travesty; further Citi fat-finger fail. Data by ORX News
US banks seek to open vendors’ black box on green data
Inaugural Fed climate scenario analysis flags lack of transparency around third-party models
Op risk data: Japan’s giant bitcoin break-in makes a monster loss
Also: Citi’s fat-finger fallout; HSBC pays for unfair customer treatment; Visa and Mastercard fined over ATM fee-fixing. Data by ORX News
Norinchukin hit with 54% rise in op RWAs
Recalibration of underlying parameters is first under new standardised measurement approach
Op risk data: TD Bank takes US reg pill in purported drug-related AML fails
Also: SCB fraud bill rising fast; Postbank pain for Deutsche Bank. Data by ORX News
Op risk data: Tech glitch gives customers unlimited funds
Also: Payback for slow Paycheck Protection payouts; SEC hits out at AI washing. Data by ORX News
Op risk data: Lloyds lurches over £450m motor finance speed bump
Also: JPM trips up on trade surveillance; Reg Best Interest starts to bite. Data by ORX News
Composite Tukey-type distributions with application to operational risk management
This paper investigates composite Tukey-type distributions and puts forward a new composite model, the improved flexibility of which is demonstrated.
Op risk data: Morgan Stanley clocked in block trading shock
Also: HSBC deposit guarantee gaffe; Caixa hack cracked; reg fine insult to cyber crime injury. Data by ORX News
RBI’s op risk charges climb 22% on input-series update
Recalibration reverses savings from discontinuation of AMA a year earlier
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
Op risk data: US piqued by Pictet tax breach
Also: US Bank’s Covid failings; South Korea’s short-selling clampdown. Data by ORX News
Op risk data: Monster real estate loan fraud bites Vietnam’s SCB
Also: Binance brought to book, Rabobank reprimanded over bond cartel. Data by ORX News
Op risk data: TD Bank takes $95m pill for pyramid scheme
Also: GE settles after juicing asset manager sale; keeping conflicts of interest quiet. Data by ORX News
Estimating the correlation between operational risk loss categories over different time horizons
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.
A text analysis of operational risk loss descriptions
The authors put forward a workflow for using text analysis to identify underlying risks in operational risk event descriptions.
Op risk data: Credit Suisse hit for $900m in offshore trust bust
Also: Goldman boys’ club gets the boot; HSBC double whammy; Havilland’s economic sabotage plan. Data by ORX News
Fed preps new white paper on cyber incident reporting
New proposals due on data capture after Fed dumps bid to use DFAST submissions
ING’s op RWAs climb 7% on AMA update
Second quarterly rise in a row erases most of the reduction in the first half of 2022
Op risk data: Dodgy tax practices cost Credit Suisse €240m
Also: Binance blockchain hack; ING’s Polish AML fail. Data by ORX News
Op risk data: Banks dial in $600m loss for illicit phone use
Also: Santander staff mistreatment; cum-ex rumbles on; CFTC steps up scrutiny of swaps reporting. Data by ORX News
Op risk data: SEC says no to Charles Schwab robo-adviser
Also: China steps up scrutiny of wealth management products; Libor fines still rumble on. Data by ORX News
Op risk data: Allianz dealt a $4bn blow for not-so-Alpha Funds
Also: Credit Suisse cops two cartel shops; banks get slapped in gender pay gap. Data by ORX News