Operational risk capital
Is operational risk regulation forward looking and sensitive to current risks?
This paper evaluates the operational risk capital requirements of large US banks to determine whether they are forward looking, sensitive to banks’ current exposures and designed to allow for risk mitigation.
Goldman, Wells cut operational risk
The two firms reduce op RWAs by combined $15 billion in third quarter
Op risk data: SEC issues first fine under cyber risk rule
SocGen provisions for sanctions violations; has the SMR prompted more bank CEO resignations? Data by ORX News
Basel III op risk capital savings dissipate for G-Sibs
Median savings shrink to 5.1% from 19% at end-2015
Moving the goalposts: EU fights over prop trader rules
French proposals could drive larger non-banks out of fixed income futures and options
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
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
Credit Suisse scraps legacy businesses at even faster tempo
The firm’s strategic resolution unit shed $6.2 billion of leverage exposure in the three months to June
Has op risk capital peaked for US banks?
Analysts expect steady fall in biggest banks’ $1.4 trillion in RWAs
Problems remain with op risk standardised approach, say banks
US bill HR4296 could scupper US implementation of SMA, say op risk bankers
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
Share of op risk RWAs at US banks falls
Drops at Citi, Goldman, Morgan Stanley suggest op risk capital may have peaked
Finma’s op risk ruling could set precedent, banks hope
Credit Suisse granted capital relief for divested business; others hope for clemency ahead of SMA
Op risk capital: why US should adopt SMA today
No reason to delay roll-out of standardised approach, says TCH’s Greg Baer
3LOD helps bolster risk culture – banks
Credit Suisse links metrics gleaned from first- and second-line risk managers to pay decisions
A central limit theorem formulation for empirical bootstrap value-at-risk
In this paper, the importance of the empirical bootstrap (EB) in assessing minimal operational risk capital is discussed, and an alternative way of estimating minimal operational risk capital using a central limit theorem (CLT) formulation is presented.
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
UBS hoping for capital relief for past op risk losses
OpRisk North America: Swiss bank has taken action to prevent a repeat of costly missteps
Not the top 10 op risks
From gender discrimination to the next PPI, a veteran manager looks at forthcoming potential op risks
Pillar 2 moves to centre stage for op risk capital
US banks set for sharp falls in Pillar 1 requirements, but regulator-set add-ons cloud SMA’s impact
Apac banks fear cyber risk capital shortfall under SMA
Method’s reliance on past losses and lack of scenario analysis could weaken cyber risk defences