Operational risk modelling
Climate risk overlays unnerve model-validation teams
Risk Live: Model risk managers fear they lack the data or skills to properly test expert judgement
ABN Amro ditches op risk modelling
Dutch lender latest EU bank to switch to the standardised approach ahead of SMA introduction in 2025
Execution & process errors: banks try to get beyond blunderdome
Op Risk Benchmarking: Mistakes mean more data for reporting, models and scenarios. But do banks learn from them?
On cyber risk, regionals have no appetite for disruption
Op Risk Benchmarking: Smaller lenders fear outages and other IT bungles, as do regulators. So, what are they doing about it?
Share of op risk modelling falls at European banks
Less than half of analysed dealers rely on the AMA, as introduction of new standardised approach looms large
Op Risk Benchmarking, round II: helping lenders borrow
From KRIs to four-eye checks, how do op risk frameworks at regional and domestic banks stack up?
New threats, old foibles prompt banks to switch GRC vendors
Op Risk Benchmarking: more than half of participants are reviewing or switching systems
How operational risk managers won a battle and lost a war
Applying op risk capital to US regional banks is positive, but the SMA may not be fit for purpose
How to choose the dependence types in operational risk measurement? A method considering strength, sensitivity and simplicity
The authors put forward a method for banks to choose the most appropriate dependence type based on an empirical analysis of the Chinese Operational Loss Database.
Unlocking the power of model ops for risk management gains
With banks coming under pressure to revisit risk models, many are now turning to model operations to bring much-needed improvements to every stage of the risk model lifecycle. A fundamental shift in the way risk models are developed, deployed, monitored…
Power play: how geopolitics is shaping op risk at G-Sibs
Geopolitics is a top five fear for G-Sibs, but most banks lack specialist risk staff and classical tools
Op Risk Benchmarking: Inside the G-Sibs
New initiative scrutinises op risk measurement and management practices at the world’s largest banks
The information value of past losses in operational risk
The authors argue that past operational losses inform future losses at banks and that the information provided by past losses results from their capturing factors that are hard to quantify in other tests.
Fed preps new white paper on cyber incident reporting
New proposals due on data capture after Fed dumps bid to use DFAST submissions
Top 10 operational risks for 2023
The biggest op risks for the year ahead, as chosen by senior industry practitioners
RBI reverts to standardised op risk modelling
Austrian bank hopes switch away from AMA to temper requirements’ sensitivity to legal provisions
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
RBI, ING’s op risk charges inflated by AMA updates
RWAs rise a combined €4.8 billion at the two banks
EU tweaks set to temper Basel III capital hike by a third
Changes to required capital for credit risk expected to be main driver behind average reduction
Modeling systemic operational risk in the Covid-19 pandemic
This paper introduces existing and novel epidemiology models and investigates how government responses to the Covid-19 pandemic impacted these models.
The evolution of liquidity risk management
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Op risk data: Morgan Stanley, Capital One’s data breach double trouble
Also: Citi shells out $45m for misleading stock trading info; coding clangers cost Credit Suisse $9m. Data by ORX News
Op risk data: Mashreq fined $100m for Sudan sanctions busting
Also: Westpac client scams go west; Navient and AFTS schooled over student loan misrule. Data by ORX News
SA extends reach over EU banks’ market and op risk
Regulator-devised models have been capturing a bigger chunk of RWAs through the pandemic