Operational risk capital
How to save op risk modelling
Drop loss categories and correlations and adopt simple loss distribution, advises AMA expert
JP Morgan’s CRO on the bank’s six buckets of risk
Risk30: From loan losses to electromagnetic pulses, JPMorgan Chase has a place for it
Credit Suisse seeks capital relief for resolution unit
Finma to rule on whether divesting businesses can reduce op risk RWAs
Op risk capital fight a limp political thriller
Battle to replace AMA with non-models approach was beset by nationalistic squabbles
U-turn on SMA comparability sparks anger
Three regulators echo bank dismay as key principle of op risk capital framework is abandoned
Op risk managers not sold on SMA alternative
Proposed forward-looking approach would permit internal modelling, but penalise banks if losses exceed estimates
OpRisk Europe and North America wrap: cyber, 3LOD and the SMA
Future of op risk modelling a hot topic at conference, along with evolving three lines of defence framework
Revised SMA could allow banks to ignore past op risk losses
Leaked proposals say loss component will be left to national regulators, threatening an unlevel playing field
Don’t let the SMA kill op risk modelling
The SMA is not a good response to the AMA’s failings – but don’t throw the baby out with the bathwater
Nickel-and-Dimon: why bank CEOs loathe op risk capital
JP Morgan’s Jamie Dimon and ex-StanChart CEO Peter Sands are no fans of the RWA approach
Scrap ‘absurd’ op risk RWA framework, says Sands
Ex-StanChart chief exec advocates replacing current op risk capital framework with regulator-set buffer
New Basel delay throws SMA into doubt
Revised op risk capital framework unlikely to be implemented uniformly, even when a deal is agreed, bankers say
Standardized measurement approach: is comparability attainable?
This paper considers the claim of improved comparability of SMA outcomes by considering the ability to compare “internal loss experience” between banks.
The problems with conduct risk loss aggregation
Aggregation of conduct risk losses is recommended practice, but it can seriously distort capital calculations
Fed economist advocates combining internal models with SMA
SMA could act as a floor for calculating op risk RWAs, suggests Filippo Curti
Basel still pushing for capital model floors
Bank treasurers call plan to underpin internal models with standardised floors “unmanageable”
Can the AMA be reborn?
Regulators could rescue op risk modelling through Pillar 2, writes former supervisor
Tweaks to standard op risk method not enough, experts warn
Basel Committee to integrate insurance and divestitures, but SMA still lacks forward-looking approach
Custom models work better for op risks, research finds
Bayesian approach touted for mis-selling and other management failures
Two-regime approach saves up to 30% op risk capital
Modelling shift to 'crisis mode' mitigates pro-cyclical calculations
An assessment of operational loss data and its implications for risk capital modeling
The author of this paper assesses operational loss data and its implications for risk capital modeling.
Firms aim to convince Basel on merits of op risk insurance
Lack of recognition in new SMA capital charge could cause market to shrink, worry insurers
Bank size and tail losses skewing SMA calculation
Op risk researchers criticise logic of planned new capital method
Fed paper stirs debate on new operational risk charge
Researchers offer academic justification for Basel's standardised measurement approach