Advanced measurement approach (AMA)
Diversification benefit of operational risk
Torresetti and Le Pera explore the relevance of the diversification benefit from a theoretical and practical viewpoint
Basel op risk reform proposal expected to be delayed
Consultation on scrapping operational risk modelling is now expected in early 2016
Bafin's Hufeld: op risk modelling 'almost impossible'
AMA can go, but other models will stay, Felix Hufeld tells Risk.net
Q&A: Bafin's Hufeld concerned ECB doesn't understand German banks
Sparkassen and co-operative sectors 'look like an outlier that doesn't fit with Europe'
Bafin's Hufeld: op risk modelling 'almost impossible'
AMA can go, but other models will stay, Felix Hufeld tells Risk.net
Basel Committee readies op risk and FRTB releases
Supervisors under pressure to finalise post-crisis reforms to capital rules
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.
EU 'five-year delay' to Basel op risk modelling axe
Scrapping op risk modelling in Europe could take five years, say lawyers
Adios AMA: Basel proposal to bin op risk models worries banks
Firms doubtful about risk sensitivity of standardised replacement charge
Paper of the year: JD Opdyke
New technique may help limit errors in AMA capital estimates
Reining in capital models is bad for risk management
AMA's likely demise is latest sign of worrying trend in bank capital rules
Basel Committee to consult on scrapping op risk modelling
Regulators plan to propose single simple method
Truncated lognormals as a power-law mimic in operational risk
This paper makes use of the power-law mimicry properties of the truncated lognormal distribution and shows how they fit operational risk data considerably well.
A weighted likelihood estimator for operational risk data: improving the accuracy of capital estimates by robustifying maximum likelihood estimates
This paper proposes the use of a robust generalization of MLEs for the modeling of operational loss data.
Op risk needs more weight in business decisions – NY Fed
Head of op risk supervisory team views tools as 'catalysts for change'
UK banks saddled with 'blunt' op risk capital add-on
Criticism of Pillar 2 risk insensitivity
New op risk capital approach has its own problems – Leipoldt
OpRisk Asia: Revised standardised approach an improvement but no panacea
Fighting the cognitive biases that undermine scenario analysis
Risk managers should be aware of unconscious flaws in estimation
Standardised approaches pile up capital and data woes
Banks round on one-size-fits-all rules for market, credit and op risk
Highlights from OpRisk Europe conference 2015
Exclusive coverage of London event
Banks call for collaboration with regulators on op risk models
Supervisors would benefit by learning about latest industry techniques
Panel defends value of modelling at OpRisk Europe
Avoid temptation of over-complexity, risk experts say
Live coverage: OpRisk Europe conference 2015 – Day 2
Highlights from London event
PRA's Pillar 2A consultation may point way ahead for AMA
PRA capital methodology will change rules for modelling