Operational risk modelling
Op risk managers say models will survive phase-out of AMA
Risk Live: Supervisory focus expected to shift to Pillar 2 capital, and ILM may make a comeback in Europe
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.
Higher revenue pushes HSBC’s op risk up 14%
Increased net interest income over 2023 major driver behind six-year high figure
ING’s op risk jumps 10% on model updates
Other European AMA users report moderate hikes
RBI’s op risk charges climb 22% on input-series update
Recalibration reverses savings from discontinuation of AMA a year earlier
FMIs get busy, as supervisors circle
Via new roles and controls, exchanges and clearers hope to “get ahead” of regulatory wave
Op Risk Benchmarking, round III: the FMIs
Decade of change has seen exchanges and CCPs grow in size and importance, dragging their management of op risk into the regulatory spotlight
Climate risk overlays unnerve model-validation teams
Risk Live: Model risk managers fear they lack the data or skills to properly test expert judgement
ABN Amro ditches op risk modelling
Dutch lender latest EU bank to switch to the standardised approach ahead of SMA introduction in 2025
Execution & process errors: banks try to get beyond blunderdome
Mistakes mean more data for reporting, models and scenarios. But do banks learn from them?
On cyber risk, regionals have no appetite for disruption
Smaller lenders fear outages and other IT bungles, as do regulators. So, what are they doing about it?
Share of op risk modelling falls at European banks
Less than half of analysed dealers rely on the AMA, as introduction of new standardised approach looms large
Op Risk Benchmarking, round II: helping lenders borrow
From KRIs to four-eye checks, how do op risk frameworks at regional and domestic banks stack up?
New threats, old foibles prompt banks to switch GRC vendors
Op Risk Benchmarking: more than half of participants are reviewing or switching systems
How operational risk managers won a battle and lost a war
Applying op risk capital to US regional banks is positive, but the SMA may not be fit for purpose
How to choose the dependence types in operational risk measurement? A method considering strength, sensitivity and simplicity
The authors put forward a method for banks to choose the most appropriate dependence type based on an empirical analysis of the Chinese Operational Loss Database.
Unlocking the power of model ops for risk management gains
With banks coming under pressure to revisit risk models, many are now turning to model operations to bring much-needed improvements to every stage of the risk model lifecycle. A fundamental shift in the way risk models are developed, deployed, monitored…
Power play: how geopolitics is shaping op risk at G-Sibs
Geopolitics is a top five fear for G-Sibs, but most banks lack specialist risk staff and classical tools
Op Risk Benchmarking: Inside the G-Sibs
New initiative scrutinises op risk measurement and management practices at the world’s largest banks
The information value of past losses in operational risk
The authors argue that past operational losses inform future losses at banks and that the information provided by past losses results from their capturing factors that are hard to quantify in other tests.
Fed preps new white paper on cyber incident reporting
New proposals due on data capture after Fed dumps bid to use DFAST submissions