Scenario analysis
Pushed to the limit
Stress Testing
Fully flexible views: theory and practice
Attilio Meucci proposes a unified methodology to input non-linear views from any number of users in fully general non-normal markets and perform, among others, stress testing, scenario analysis and ranking allocation. He walks the reader through the…
Risk scenarios must take impact of climate change into account
Daily news headlines
Setting the scene
Scenario analysis is often used to plug the gaps that conventional data can't fill. But it might have more to offer. Duncan Wood investigates
A calculated approach
Operational risk economic capital calculation is high on the agenda - at last. So who is using it, and why? A new OR&C Intelligence survey investigates
Time to shine
In the wake of the subprime crisis and resulting global credit crunch, operational risk practitioners must seize the opportunity to prove the value of their discipline, says Ellen Davis
The trouble with GRC
Governance, risk and compliance is posing thorny challenges for many executives
Op risk can learn from Berlin's renaissance
I was in Berlin in June at a conference on business processes. Now, some people might think this is probably not how they would choose to spend their time. But the event was something of a revelation to me.
Room for improvement
Sungard tops our survey of software vendors, its products proving a hit across the op risk and compliance spectrum. But op risk executives continue to demand more from the software industry, reports Dianne See Morrison
A question of discipline
Op risk is showing signs of maturing, although there is still much work to be done. So delivering value to the business continues to be a substantial challenge, according to a new survey
Resolving the confusion
Risk control self-assessments have become a Tower of Babel for the op risk discipline, with a variety of different approaches being taken. Ellen Davis reports
A practical operational risk scenario analysis quantification
Thomas Alderweireld, João Garcia and Luc Léonard define an operational risk scenario analysis and its quantification technique, leading to the determination of the loss distribution characteristics. The method is based on simple questions put to…
Fitch launches First database upgrade
Fitch Risk launched Version 2.0 of the Financial Institutions Risk Scenario Trends (First) database in August, according to Penny Cagan, the senior vice-president for research at Fitch Risk, and manager of the First database.
Société Générale subscribes to Fitch Risk's Opvantage
French bank Société Générale has entered into a subscription agreement with Fitch Risk to access its financial institutions risk scenario trend (First) database.
Building scenarios
Kenji Fujii of UFJ Holdings looks at the benefits of using scenario analysis as a means of managing operational risk, and discusses UFJ Bank's scenario-based advanced measurement approach.
RMA signs up for OpVantage First database
The Risk Management Association (RMA) has signed up to use OpVantage's First (financial institutions risk scenario trend) database. OpVantage, a division of rating agency Fitch, provides operational risk software to the industry.
Getting it together
Data consolidation is now a vital foundation to any successful risk management implementation, as Dave Rose and Stuart Cook of The Structure Group report
Scenario-based AMA
Conference paper from the Basel Committee on Banking Supervision's recent Operational Risk conference in New York: This paper, which focuses on aspects of implementing the scenario-based advanced measurement approach was drafted by a team of…
Beyond the lognormal
Value-at-risk
Princeton Team Develops TIRM Risk Methodology
METHODS & REGULATIONS