Fed economists float new way to project op risk losses

Researchers suggest combining firm’s size with loss history to best predict losses under CCAR

Companies should look at their size and past loss experience in tandem to get the most accurate projection of operational risk losses under stress conditions, three US Federal Reserve economists have proposed.

In a paper submitted for publication in the Journal of Operational Risk, the researchers – Marco Migueis, Filippo Curti and Robert Stewart – constructed new benchmarks to forecast op risk losses under stress scenarios. The views in the paper are those of the authors and do not represent