Banks
Hidden Markov regimes in operational loss data: application to the recent financial crisis
The authors propose a method to consider business cycles in the computation of capital for operational risk.
A nonlinear analysis of operational risk events in Australian banks
This paper proposes a methodology applied to complex systems to analyze operational risk events in Australian banks.
Market expects Holdco CDS switch for iTraxx index
TLAC-driven issuance changes likely to see UK and Swiss holding company CDSs included in iTraxx Financials
Audio webinar: Implementing and capturing value from BCBS 239
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Why did the crisis cause such large op risk losses?
Huge losses from the 2008 crisis can be seen as a short option position
Rise of the machines: AI begins to tackle credit risk
Self-taught technology could push humans aside from some – or all – of the underwriting process
FRTB sends banks around the bend
Banks uncover hidden challenges of data, computing power and need for joined-up approach
Buy-side stress tests ‘not straightforward’ – Irish central banker
Stress tests for asset managers need to be different from those for banks, conference told
Banks under pressure to boost treasury risk oversight
Credit Suisse among banks that have expanded their second line of defence, conference hears
IMF's systemic risk findings called into question
Financial connectedness measure “not usually sharply aligned with systemic risk”, says Darrell Duffie
US Bank’s op risk chief on terrorism and continuity
Jodi Richard explains overhaul of firm’s op risk programme, including crisis management plans
Cyber crooks covering their tracks, says UBS intelligence chief
Cyber criminals are increasingly turning into masters of disguise, OpRisk Asia conference hears
The three lines of defence: a health warning
Effective risk management is more important than what your organisational chart looks like
Banks fear costs from loss of AAD under simpler FRTB rules
Trading book regime may force use of more expensive and time-consuming ways of computing risk sensitivities
Three lines of defence model comes under attack
Operational risk managers say idea is too formalised and beset by implementation challenges
Regulatory miasma makes life difficult for Ocwen CRO
Op risk veteran Marcelo Cruz says firm faces “absurd” quantity of rules in US mortgage market
Bank of the year: UBS
Risk management failures cause the bank to revamp its op risk programme
The beginning of the end for footloose modelling
US model risk guidance has drawbacks, but is a step towards better management of model risk
Brexit spurs rethink of political risk at global banks
Some banks are reserving capital against political risks, such as Brexit
Weighing criticism of the SMA reveals a lack of balance
Operational risk managers are becoming unusually excitable, with some justification
US model risk rules put lions back in their cages
Impact of Federal Reserve and OCC model risk guidance is being felt well beyond US banks
Three lines of defence a struggle, say op risk heads
Separation "theoretically perfect" but "practically, hugely flawed" says UBS's Hunt
Living wills and LVAR could help kill liquidity risk
When used with living wills, a new method may help banks quantify liquidation costs
Bringing order to op risk and the duck-billed platypus
Industry co-operation on operational risk taxonomies might yield a valuable tool