RWAs rise a combined €4.8 billion at the two banks
Changes to required capital for credit risk expected to be main driver behind average reduction
This paper introduces existing and novel epidemiology models and investigates how government responses to the Covid-19 pandemic impacted these models.
Also: Citi shells out $45m for misleading stock trading info; coding clangers cost Credit Suisse $9m. Data by ORX News
Also: Westpac client scams go west; Navient and AFTS schooled over student loan misrule. Data by ORX News
Regulator-devised models have been capturing a bigger chunk of RWAs through the pandemic
Also: ING mirrors ABN client loan loss; CS lands huge fine for tuna bonds. Data by ORX News
Sfr1bn increase expected to accrue over the next six months
Capital requirements set to rise almost 88% for those G-Sibs that don’t currently use the AMA
Also: Amundi fined for index manipulation; Wells pays out over client fraud. Data by ORX News
Also: Misinformation in Lloyds Bank insurance renewals; AML fail at Amex France. Data by ORX News
This paper models an overall operational risk loss caused by the accumulation of intermediate losses incurred at each process via a mechanism of network contagion across distinct processes within the boundary of a bank.
The bank added 20bp to its CET1 capital ratio in Q1
The economic cost of a fat finger mistake: a comparative case study from Samsung Securities’s ghost stock blunder
This paper quantifies the economic cost of Samsung Securities’s ghost stock blunder using the synthetic control method.
The biggest op risks for the year ahead, as chosen by senior industry practitioners
Also: Wells Fargo fee fight; Nasdaq queers Emir reg; Covid keeps AML fines in line. Data by ORX News
Advanced measurement approach is the preserve of large banks
Is there anybody out there? Detecting operational outages from Large Value Transfer System transaction data
This paper develops a method to identify operational outages of participants in the Canadian Large Value Transfer System (LVTS).
Bank of America’s charge falls 26% following a model change
Op RWAs had been falling since Q3 2019
Also: counting the cost of Covid cons; Citi audio dynamite. Data by ORX News
Standardising stress drivers could help smooth differences between bank loss estimates
Also: Cyber fines on the up; and more fat-finger fails of yore. Data by ORX News