Operational risk modelling
Sponsored video: Thomas Lee, Vivo Security
Thomas Lee, chief executive and co-founder of Vivo Security – a start-up firm based in Silicon Valley and sponsors at OpRisk North America – talks about how special the banking industry is to Vivo Security and why its approach to model risk management…
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
Precise cyber modelling ‘a pipe dream’, expert says
OpRisk North America: Cyber risk models should aim for accuracy, not precision
Top 10 op risks 2018: model risk
Model risk re-enters top 10 amid avalanche of validation regulations
Op risk modelling to survive move to SMA
Models will still be needed to measure forward-looking risks under Pillar 2
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
Basel op risk modelling blow shifts focus to Pillar 2
Demise of AMA leaves industry needing risk-sensitive approach for calculating top-up capital, says consultant
Apac banks dodge op risk capital hit from new rules
Chinese lenders have largest capital requirements in region; banks expect muted increase on average
Basel III: final op risk framework leaves banks guessing
Analysis suggests big capital savings on average, but uncertainty persists over uneven implementation
How to save op risk modelling
Drop loss categories and correlations and adopt simple loss distribution, advises AMA expert
Bank cyber chiefs grope for sound risk models
Vast scope of threats makes modelling unfeasible, say practitioners
Op risk managers not sold on SMA alternative
Proposed forward-looking approach would permit internal modelling, but penalise banks if losses exceed estimates
Banks move to model smaller op risk losses
Credit Suisse is using scenario analysis to model the risks associated with internal fraud losses
On a family of weighted Cramér–von Mises goodness-of-fit tests in operational risk modeling
This paper applies classical theory to determine if limiting distributions exist for WCvM test statistics under a simple null hypothesis.
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
HSBC shakes up risk analytics team
Internal memo attributes changes to increased demand for analytics
Europe’s banks fret over US stress tests
CCAR could expose weaknesses in capital planning at foreign banks
Op risk family tree challenges Basel’s business line focus
Cladistic analysis shows importance of control failure, crime and fraud
Operational risk models and asymptotic normality of maximum likelihood estimation
In this paper, the author studies how asymptotic normality does, or does not, hold for common severity distributions in operational risk models.
The benefit of using random matrix theory to fit high-dimensional t-copulas
This paper uses simulation studies and an example of operational risk modeling to show the necessity and benefit of using RMT to fit high-dimensional t-copulas in risk modeling.
Two-regime approach saves up to 30% op risk capital
Modelling shift to 'crisis mode' mitigates pro-cyclical calculations
Basel’s Adachi: banks may discard some loss data under SMA
Losses from discontinued businesses may not count towards op risk capital
SMA proposal fires up op risk managers
Banks say backward-looking SMA is easily gamed and will lead to high and volatile capital charges