Technical paper/Basel II
Operational risk and regulatory capital: do public and private banks differ?
The authors investigate relationships between operational risk and regulatory capital in Indian public and private banks.
The status of people risk management in UK banks
This paper examines how people risk is managed in banks using interview data obtained from operational risk management experts working in the UK banking sector.
Modeling credit risk in the presence of central bank and government intervention
In this paper a simple approach for including central bank and government intervention in credit models is developed and illustrated using the Fed’s data for the CCAR 2021 stress test.
Bank leverage and capital bias adjustment through the macroeconomic cycle
The author assesses the quantitative effects of the recent proposal for more robust bank capital adequacy.
A sensitivity analysis of the alpha factor
In this paper, we investigate the alpha factor’s sensitivity to key model parameters under stylized portfolio assumptions in order to better understand its complex characteristics. Our analysis is based on the numerical simulation of alpha sensitivities…
Basel risk weight functions and forward-looking expected credit losses
The authors establish that the combination of lifetime ECL and the Basel Capital Adequacy Framework, which relies on a one-year horizon, results in capital overestimation. Alongside this finding, and in order to alleviate the problem, they propose two…
A study on window-size selection for threshold and bootstrap value-at-risk models
This paper investigates the effects of window-size selection on various models for value-at-risk (VaR) forecasting using high-performance computing.
The use of business intelligence and predictive analytics in detecting and managing occupational fraud in Nigerian banks
The goal of this paper is to illustrate how Nigerian banks, and indeed banks elsewhere, can develop solutions that incorporate both BI and predictive analytics techniques in detecting, predicting, preventing and managing occupational fraud.
Operational risk measurement: a loss distribution approach with segmented dependence
This paper proposes an approach, called the loss distribution approach with segmented dependence (LDA-SD), which can model the different dependencies of HFLI and LFHI losses in the framework of LDA.
A practical maturity assessment method for model risk management in banks
This paper proposes a qualitative method to assess the maturity of model risk management practices within banks.
Financial networks and bank liquidity
This papers is the first to link bank liquidity performance and core–periphery network structures.
Modeling the current loan-to-value structure of mortgage pools without loan-specific data
This paper presents a method for approximating the current loan-to-value (CLTV) and remaining principal structures of heterogeneous mortgage loan pools.
Basel II versus III: a comparative assessment of minimum capital requirements for internal model approaches
This paper provides a comparative assessment of the minimum capital requirement (MCR) in three prominent versions of the Basel regulatory framework.
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.
Asset correlation of retail loans in the context of the new Basel Capital Accord
The approach to the measurement of credit risk recommended by the new Basel Capital Accord (Basel II) gives a wide choice of basic risk estimators. However, the rules for estimating asset correlations are defined in an ambiguous manner.