Scenario analysis
Realising opportunities while managing conduct risk
As efforts to transition from Libor to risk-free rates ramp up, Maria Blanco and Nassim Daneshzadeh, partners in PwC’s US and UK financial services practices, discuss two critical and interconnected strategies that are front and centre for PwC clients
Applying existing scenario techniques to the quantification of emerging operational risks
This paper sets out techniques for: (a) identifying systematically emerging threats, their timescales, and interrelationships (eg, feedback loops and domino effects); (b) quantifying operational risks through structured scenario analysis processes that…
An investigation of cyber loss data and its links to operational risk
This paper investigates cyber loss data and focuses on quantifying the direct financial and compensatory losses emanating from cyber risks.
XVA solution of the year: Numerix
Asia Risk Technology Awards 2019
International Financial Reporting Standard 9 expected credit loss estimation: advanced models for estimating portfolio loss and weighting scenario losses
In this paper, the authors propose a model to estimate the expected portfolio losses brought about by recession risk and a quantitative approach to determine the scenario weights.
ABA scenario analysis project could aid CCAR comparability
Scheme to agree on common risk drivers could help Fed benchmark risk exposures, says JP op risk expert
Ex-Huawei tech security chief on steeling UOB’s cyber defences
Singaporean bank overhauls penetration testing and scenario analysis, with Tobias Gondrom leading the effort
Singapore banks ramp up cyber scenario analysis
StanChart building out scenario library as dealers up use of technique to gauge spending on defences
Obstacles and opportunities in adopting cloud computing
Sponsored Q&A
European funds wary of stress-test ‘straitjacket’
As Esma finalises guidance, some fear a one-size-fits-all approach
Commonwealth Bank hikes loan reserves on accounting switch
Provisions rise 38% on July implementation of AASB 9
Actionable data breach insights from op risk modelling
Thomas Lee, chief executive at VivoSecurity, and Martin Liljeblad, operational risk manager at MUFG Americas, examine how a data breach cost model can replace an advanced measurement approach in a structured scenario
Banks should quantify loan-loss model risk – academic
Models such as those used for IFRS 9, CECL or CCAR are prone to errors, and should be accounted for
Lenders reveal struggles over IFRS 9 roll-out
Size of task caught some banks unawares, leading to botched home-grown systems or data problems
Barclays’ cyber chief: try to break your own IT defences
Banks “must go beyond vulnerability assessments”, conference hears
Op risk modelling to survive move to SMA
Models will still be needed to measure forward-looking risks under Pillar 2
Fed willing to listen on CCAR transparency calls
Central bank will seek industry input on bolstering transparency of stress test regime, says Quarles
Banks move to model smaller op risk losses
Credit Suisse is using scenario analysis to model the risks associated with internal fraud losses
Why multi-asset managers shouldn’t count on the past
Risk models are backward-looking but history won’t repeat itself
Op risk family tree challenges Basel’s business line focus
Cladistic analysis shows importance of control failure, crime and fraud
Operational risk modelling – finally?
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