Operational risk
WHAT IS THIS? Operational risks are those arising from people, processes and systems – the biggest form of exposure for many industries, but one that was neglected by financial firms until the collapse of Barings Bank in 1995. It was added to the Basel capital framework in 2004, but attempts to model operational risk were dealt a heavy blow by the huge, unforeseen losses suffered by banks in the aftermath of the financial crisis.
US indicts three in forex rigging probe
Accused UK-based traders face maximum 10 years in prison and $1m in fines
Reputation model reveals how banks drag each other down
Network study shows bottom-line impact of bad news elsewhere
SMA data shortfalls ‘make op risk review a must’
New research adds to criticism of proposed op risk capital method
EC umbrella plan dismays foreign banks
EU intermediate holding company proposal complicates legal entity structures and Brexit planning
Review of 2016: turn and face the strange
Post-crisis reform has caused upheaval, but gave recent years a sense of direction; in 2016, that was missing
Fed economist advocates combining internal models with SMA
SMA could act as a floor for calculating op risk RWAs, suggests Filippo Curti
Exclude internal stress tests from CCAR, says US auditor
GAO says internal tests weaken incentives for banks to create 'meaningful and severe stress tests'
Eiopa stress test highlights UK reliance on matching adjustment
Tests reveal how unwelcome any watering down of key measure would be
Commodities traders question EU’s insider trading regime
Esma guidance on Mar leaves market in the dark, say critics – particularly for hedges
Europe’s banks fret over US stress tests
CCAR could expose weaknesses in capital planning at foreign banks
CFTC looks to strengthen oversight of trading obligation
Chief counsel at CFTC highlights weaknesses of bottom-up approach to MAT determinations
Closer ties between banks could mean more risk-taking
Model points to risks of core-periphery structure
Relative values: JPM’s $260m China interns fine tops November losses
Megan van Ooyen from SAS rounds up the top five op risk losses for November
Mixed views on Dodd-Frank rollback
No need to dump central clearing and electronic trading mandates, market participants say
Singapore fines two foreign banks for 1MDB-related breaches
Investigations continuing into Goldman Sachs’ role, regulator says
VM regime threatens explosion of small margin calls
Transfer threshold designed to avoid small payments is unworkable, critics claim
RBS must raise £2bn after failing stress tests
Lender releases new capital plan after worst performance in BoE test
Op risk family tree challenges Basel’s business line focus
Cladistic analysis shows importance of control failure, crime and fraud
Banks and CCPs clash over non-default losses
Banks balk at being on the hook for losses from investments or cyber attack, but many clearers say the risk should be shared
How will banks suffer large op risk losses in the future?
Eight interlocking trends mean more multi-billion-dollar losses to come
The death of one thousand flowers or the AMA reborn?
The author of this paper explores the reasons for the pending demise of the advanced measurement approach (AMA) to operational risk.
Optimal B-robust posterior distributions for operational risk
The aim of this paper is to integrate prior information into a robust parameter estimation via OBR-estimating functions.
RBS mortgage mis-selling returns to haunt lender
Megan van Ooyen from SAS rounds up the top five op risk losses for October
Operational risk modelling – finally?
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