Operational risk modelling
Basel III overhaul adds €85bn to EU banks’ op RWAs
BNP Paribas, Soc Gen and SEB see largest rises in absolute terms
TD Bank’s annual op loss tab surges 144% amid AML settlement
US plea deal drives bank’s op RWAs to record C$120 billion
Consolidation of Arval exposures adds €20bn to BNP Paribas’ RWAs
Bank shifts exposures from soon-to-be retired equity IRB treatment to standardised approach
TD Bank’s op risk charges spike amid anti-money laundering probe
Record-high RWAs push bank’s core ratio to its lowest in four years
NatWest, StanChart, Nationwide drive record op RWAs at UK banks
BoE data shows operational risk RWAs highest going back to 2014
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.
For compliance risk, the big get bigger
Second-line teams have been growing at US G-Sibs – and are set to continue – while Europeans’ flatline
For G-Sibs managing cyber outages, confidence makes the difference
IT disruption drops among top G-Sib concerns this year, as banks revamp models and retool risk indicators
Op Risk Benchmarking 2024: the G-Sibs
Eleven large banks feature in round II, with new data points on first-line risk teams, taxonomies and AI adoption
Cyber insurance costs still rising, say big banks
Op Risk Benchmarking: Cost of covering same exposure as last year now “somewhat” or “significantly” higher
Op risk managers say models will survive phase-out of AMA
Risk Live: Supervisory focus expected to shift to Pillar 2 capital, and ILM may make a comeback in Europe
At BayernLB, Nykredit and Erste, op risk charges hit multi-year highs
Annual model recalibrations responsible for double-digit rises
Norinchukin hit with 54% rise in op RWAs
Recalibration of underlying parameters is first under new standardised measurement approach
Advancing risk management using new data techniques
This webinar shares best practices on how risk management can be improved and insights on how risk managers can use big data to improve risk modelling
Op risk hits all-time highs at three Nordic banks
Regular updates drive record rises at Handelsbanken, Nordea and SEB
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.
Higher revenue pushes HSBC’s op risk up 14%
Increased net interest income over 2023 major driver behind six-year high figure
ING’s op risk jumps 10% on model updates
Other European AMA users report moderate hikes
RBI’s op risk charges climb 22% on input-series update
Recalibration reverses savings from discontinuation of AMA a year earlier
FMIs get busy, as supervisors circle
Via new roles and controls, exchanges and clearers hope to “get ahead” of regulatory wave
Op Risk Benchmarking, round III: the FMIs
Decade of change has seen exchanges and CCPs grow in size and importance, dragging their management of op risk into the regulatory spotlight