As Esma finalises guidance, some fear a one-size-fits-all approach
Provisions rise 38% on July implementation of AASB 9
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
Models such as those used for IFRS 9, CECL or CCAR are prone to errors, and should be accounted for
Size of task caught some banks unawares, leading to botched home-grown systems or data problems
Banks “must go beyond vulnerability assessments”, conference hears
Models will still be needed to measure forward-looking risks under Pillar 2
Central bank will seek industry input on bolstering transparency of stress test regime, says Quarles
Credit Suisse is using scenario analysis to model the risks associated with internal fraud losses
Risk models are backward-looking but history won’t repeat itself
Cladistic analysis shows importance of control failure, crime and fraud
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Search for plausible stress scenarios leads Natixis risk managers in a new direction
Banks say backward-looking SMA is easily gamed and will lead to high and volatile capital charges
New rules needlessly confusing, say distributors
Op risk accounts for 28% of US banks’ RWAs, compared with 12% at European banks
HypoVereinsbank risk controller proposes bootstrapped approach to liquidity stress testing
Application of the convolution operator for scenario integration with loss data in operational risk modeling
This paper addresses the uncertainty in scenario analysis and produces a combined loss distribution.
This paper assesses the risk inherent in wind turbine investments that rely on a power market in order to determine the selling price of generated power.
Head of op risk supervisory team views tools as 'catalysts for change'
Risk managers should be aware of unconscious flaws in estimation