Loss data
Op risk assessment hampered by lack of reliable data
Inadequacy of loss expectation data is a major cause of modelling risk for operational risk strategies, said Carol Alexander, professor of the ISMA Centre at the University of Reading in the UK, at Risk's annual European conference.
Constructing an operational event database
Michael Haubenstock of US bank Capital One outlines a framework for an event database, formulated with current US regulatory guidance on the subject in mind. The text is an abstract from The Basel Handbook, which has just been published by Risk Books.
S&P questions Basel II
NEW YORK - Standard and Poor's anticipates significant challenges for banks to quantify operational risk as outlined in Basel II, even though it expresses general support for the Accord as a whole.
Basel paper outlines way forward for op risk insurers
The Basel Committee on Banking Supervision released a paper in August outlining what the insurance industry must do to design op risk transfer products, including insurance and capital markets products.
FSA study shows wide gap in firms' op risk frameworks
LONDON - In late July, the UK's FSA published a study of the practical implementation challenges that financial firms face when putting together an op risk infrastructure.
Framework developed for German banks
BONN, GERMANY - Many of Germany's banks have been somewhat slow to prepare their operational risk management framework for the new international bank capital accord, Basel II, and the prospective European Union (EU) Capital Adequacy Directive (Cad).
Exceptional operational risks: Three myths debunked
Are there common features among exceptional operational risks beyond their defining characteristics of rarity and severe consequences?
Op risk economic capital is 15%, says BIS study
Banks allocate an average of 15% of their economic capital for operational risk, according to a study released today by the Bank for International Settlements (BIS).
How to avoid overestimating capital charges for op risk
Pooling internal and external data is a central issue to estimating capital charges for operational risk. Here, Nicolas Baud, Antoine Frachot and Thierry Roncalli of Crédit Lyonnais discuss the methodology they have developed.
Profile: Dresdner makes loss prevention a new priority
Operational risk management is a management programme, not just a modelling exercise, according to Jonathan Howitt, director of operational risk at investment bank Dresdner Kleinwort Wasserstein in London.
Op risk modelling for extremes
Part 2: Statistical methods In this second of two articles, Rodney Coleman, of Imperial College London, continues his demonstration of the uncertainty in measuring operational risk from small samples of loss data.
Landesbanken's operational risk management tool
Many German banks lag behind their peers when it comes to operational risk management. The proposed new international bank capital accord, Basel II, which - for the first time - stipulates a separate capital charge for operational risk, has put the topic…
OpVar 4.2 unveiled
New York-based operational risk quantification firm OpVantage - a division of Fitch Risk Management - has launched version 4.2 of its OpVar operational risk product suite. The suite allows users to collect op risk data, analyze loss probabilities, scale…
Practitioner analysis: Reaping the advantages of Basel II
David Stone of Zions Bancorporation describes how the US bank plans to underpin its enterprise-wide risk management by implementing the Basel II accord’s advanced approaches to measuring operational risk.
ORX loss database operational by the end of the year
FRANKFURT, GERMANY - The Operational Riskdata eXchange Association (ORX), a not-for-profit venture to pool op risk loss data resources, expects its operational risk database to be operating by the end of 2002, Fred Peemoeller, chief risk officer,…
Op risk loss exercise gets good response ahead of QIS 3
BASEL, SWITZERLAND - Global banking regulators said there was a good response from banks to the operational loss data collection exercise that the regulators launched in June to help them refine the op risk aspects of the Basel II bank accord aimed at…
Fitch gets OpVar loss database with NetRisk purchase
NEW YORK - Fitch Risk Management, part of rating agency Fitch, said in mid-July it was acquiring NetRisk and its subsidiary OpVantage, both Connecticut-based risk management companies.
Using Bayesian networks to predict op risk
By combining qualitative and quantitative data, Bayesian networks offer the perfect solution to the compelling need for an integrated approach to operational risk management, say Martin Neil and Ed Tranham.
Regulators grow confident about Basel II calendar
Global banking regulators were expected to issue an upbeat statement in mid-July on progress with the controversial Basel II bank accord after several months of uncertainty in which some bankers doubted the accord would ever see the light of day.
Measuring the Unexpected
The events of Sept. 11 brought increased attention and confusion to the practice of managing operational risk.
The Basle II capital accord: op risk proposals in brief
This summary has been updated to include the revisions to the Basle II op risk proposals contained in the Working Paper on the Regulatory Treatment of Operational Risk issued in September, 2001 and available on the Bank for International Settlements’…
Loss survey supports arguments against capital charges, say fund managers
London - The results of a survey by global banking regulators of banks’ operational loss experience support arguments against using capital charges as the main protection against operational losses in fund management and broker activities. This is the…
Approach with caution
Indicators of operational risk are not for the faint of heart, nor are they necessarily bearers of good news. But used properly and effectively, they can help businesses identify potential losses before they happen.
DrKW and Raft establish new op risk management standard
Investment bank Dresdner Kleinwort Wasserstein (DrKW) and Raft International, the component-based software provider to the financial services industry, have jointly developed and deployed Radar, a near real-time global operational risk management…