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.
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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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.
Why did the crisis cause such large op risk losses?
Huge losses from the 2008 crisis can be seen as a short option position
Can the AMA be reborn?
Regulators could rescue op risk modelling through Pillar 2, writes former supervisor
From Russian roulette to overcautious decision-making
Risk-taking ought to be judged by its necessity, not likely outcomes, says Ariane Chapelle
Tweaks to standard op risk method not enough, experts warn
Basel Committee to integrate insurance and divestitures, but SMA still lacks forward-looking approach
Energy risk teams explore use of KRI metrics
KRIs show particular promise for managing operational risk
Wells Fargo pays the price for ‘ghost account’ fraud
Megan van Ooyen from SAS rounds up the top five op risk losses for September
Operational risk and the Solvency II capital aggregation formula: implications of the hidden correlation assumptions
The authors of this paper analyze the Solvency II standard formula for capital risk aggregation in relation to the treatment of operational risk capital.
Interview: US Treasury CRO on credit risk, Tarp and cyber threats
Ken Phelan stresses importance of credit risk management in key Treasury role
Custom models work better for op risks, research finds
Bayesian approach touted for mis-selling and other management failures
BoE lays out blueprint for RTGS reboot
Central bank plans “comprehensive rebuild” of payments platform
Two-regime approach saves up to 30% op risk capital
Modelling shift to 'crisis mode' mitigates pro-cyclical calculations
The missing piece in operational risk appetite
Setting an op risk appetite is illogical without reference to reward, argues Ariane Chapelle
Comments on the Basel Committee on Banking Supervision proposal for a new standardized approach for operational risk
In this paper, the behavior of the SMA is studied under a variety of hypothetical and realistic conditions, showing that the simplicity of the new approach is very costly.
Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?
This paper discusses and studies the weaknesses and pitfalls of the SMA and the implicit relationship between the SMA capital model and systemic risk in the banking sector.
AIG hit by $230 million settlement over MedPartners
Megan van Ooyen from SAS rounds up the top five op risk losses for August
Risk managers take note: Brexit was not a black swan
Protecting yourself against true black swans is the art of the possible, not the probable
US Bank’s op risk chief on terrorism and continuity
Jodi Richard explains overhaul of firm’s op risk programme, including crisis management plans
Nationwide's Laing to replace TSB CRO Neeta Atkar
Icap creates global head of regulatory affairs role; NIBC appoints chief risk officer; Crown Agents boosts risk management
Firms aim to convince Basel on merits of op risk insurance
Lack of recognition in new SMA capital charge could cause market to shrink, worry insurers