Loss data
Credit loss database reveals holes in Basel’s IRB formula
Researcher has used two decades of data to propose improved internal model methodology
Integrating internal and external loss data via an equivalence principle
The authors put forward a means address data scarcity in operational risk modelling by supplementing internal loss data with external loss data.
US banks seek to open vendors’ black box on green data
Inaugural Fed climate scenario analysis flags lack of transparency around third-party models
Norinchukin hit with 54% rise in op RWAs
Recalibration of underlying parameters is first under new standardised measurement approach
Composite Tukey-type distributions with application to operational risk management
This paper investigates composite Tukey-type distributions and puts forward a new composite model, the improved flexibility of which is demonstrated.
RBI’s op risk charges climb 22% on input-series update
Recalibration reverses savings from discontinuation of AMA a year earlier
Tall order: why a unified op risk taxonomy is still elusive
Banks vary in how they classify operational risk losses – and regulators are in no rush to change the status quo
Estimating the correlation between operational risk loss categories over different time horizons
The authors propose and demonstrate the value of a model with which mathematical techniques can be applied to analytically calculate means, variances and covariances more accurately than Monte Carlo simulations.
A text analysis of operational risk loss descriptions
The authors put forward a workflow for using text analysis to identify underlying risks in operational risk event descriptions.
Op risk data: Credit Suisse hit for $900m in offshore trust bust
Also: Goldman boys’ club gets the boot; HSBC double whammy; Havilland’s economic sabotage plan. Data by ORX News
Fed preps new white paper on cyber incident reporting
New proposals due on data capture after Fed dumps bid to use DFAST submissions
ING’s op RWAs climb 7% on AMA update
Second quarterly rise in a row erases most of the reduction in the first half of 2022
Op risk data: Dodgy tax practices cost Credit Suisse €240m
Also: Binance blockchain hack; ING’s Polish AML fail. Data by ORX News
Op risk data: Banks dial in $600m loss for illicit phone use
Also: Santander staff mistreatment; cum-ex rumbles on; CFTC steps up scrutiny of swaps reporting. Data by ORX News
Op risk data: SEC says no to Charles Schwab robo-adviser
Also: China steps up scrutiny of wealth management products; Libor fines still rumble on. Data by ORX News
Op risk data: Allianz dealt a $4bn blow for not-so-Alpha Funds
Also: Credit Suisse cops two cartel shops; banks get slapped in gender pay gap. Data by ORX News
Op risk data: Morgan Stanley, Capital One’s data breach double trouble
Also: Citi shells out $45m for misleading stock trading info; coding clangers cost Credit Suisse $9m. Data by ORX News
Op risk data: Mouldy money makes big stink for NatWest
Also: Santander plays Santa; JPM in messaging mayhem; ‘Sterling Lads’ cost HSBC a couple of bricks. Data by ORX News
Top 10 op risk losses for 2021 hog $15bn total
Despite more fraud and crypto crime, firms’ op risk losses fall in number and in volume. Data by ORX News
CCPs unlikely to be wiped out by op losses, research suggests
Former LCH risk chief says sharing loss data would help CCPs avoid risk of holding too little capital, or too much
Central counterparty capital and nondefault losses
This paper analyses the components of central counterparty (CCP) capital requirements and makes several observations on the potential for loss absorption.