In this paper, the author presents a simple probabilistic model for aggregating very large losses into a loss collection.
Isda AGM: Parliament tackles big issues in recovery and resolution text, but 'doesn’t go far enough'
No reason to delay roll-out of standardised approach, says TCH’s Greg Baer
Banks “must go beyond vulnerability assessments”, conference hears
Regulator allowed Swiss bank to cut op risk exposure from defunct business
Credit Suisse links metrics gleaned from first- and second-line risk managers to pay decisions
Some banks have qualms over potential downgrades and overlap between first and second lines
$15 billion in financial institution deposits driven out in response to Fed-imposed asset cap
“The thing OCC spent the most incremental funding on in 2017 was improving cyber security,” says COO
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…
Rush into $2.2 trillion China funds market tempered by problems obtaining client data
Also: in-depth look at multi-billion fraud in Indian banking system. Data by ORX News
Quants show popular risk measures fail to limit risk-seeking behaviour among traders
Regulators should try to combat rogue trading by measuring traders’ risk-taking differently, say quants
Bank’s CRO and CTO discuss front-foot approach to cyber threats
New supervisory guidance will make business heads responsible for risk management
Data and technology will help risk managers improve risk-adjusted returns
CCPs and clearing members both unhappy with proposed allocation of non-default losses
Outgoing head to be replaced by chief controls officer at the UK bank’s group service company
Bridging networks, systems and controls frameworks for cybersecurity curriculums and standards development
This paper proposes a risk management framework designed to facilitate the alignment, integration and streamlining of professional practice standards and computer science/cybersecurity educational curriculums by bridging NPNATFs, SNIFs and RMCPFs.
In this paper, the authors study tail dependence by defining the conditions required for all the methods used to perform and to quantify their efficiency and accuracy.
OpRisk North America: non-US banks holding less capital under own-models approach was “a big problem”, says regulator