Basel II
Op risk family tree challenges Basel’s business line focus
Cladistic analysis shows importance of control failure, crime and fraud
Financial networks and bank liquidity
This papers is the first to link bank liquidity performance and core–periphery network structures.
Modeling the current loan-to-value structure of mortgage pools without loan-specific data
This paper presents a method for approximating the current loan-to-value (CLTV) and remaining principal structures of heterogeneous mortgage loan pools.
Firms aim to convince Basel on merits of op risk insurance
Lack of recognition in new SMA capital charge could cause market to shrink, worry insurers
Credit veteran rewrites the alphabet of risk modelling
Scott Aguais helps banks go from point-in-time to through-the-cycle, and back again
PRA frets about Solvency II internal model ‘drift’
Bank-style leverage ratio for insurers one option being discussed
Revised Basel III better reflects bank risk, research finds
Study says 2013 capital rules more in line with actual risk, but can be easily gamed
Basel II versus III: a comparative assessment of minimum capital requirements for internal model approaches
This paper provides a comparative assessment of the minimum capital requirement (MCR) in three prominent versions of the Basel regulatory framework.
Bafin's Hufeld: op risk modelling 'almost impossible'
AMA can go, but other models will stay, Felix Hufeld tells Risk.net
Europe's new supervisory toolkit
Data and transparency remain challenges for EBA
Independent asset managers lag bank, insurer-owned peers on op risk
Capital requirements incentivise banks and insurers to enhance op risk management
Asset managers advance operational risk programmes
Independent asset management firms catching up with bank- and insurance-owned peers
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.
And so, farewell: David Rowe's final risk analysis column
After 16 years as our risk analysis columnist, David Rowe looks back at a recurring challenge
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
Q&A: Op risk veterans list lessons of the crisis
Accountability and learning from past failures key to sound risk culture
Top 100 Banks: losses fall in 2014
OpRisk database sees loss figures improve
Capital hit from death of 0% sovereign weight 'not enormous'
Banks would have to raise equity equal to 0.7% of current levels, ESRB finds
Forward march – Op risk integration strides on
Sponsored survey analysis: Protiviti
How to hedge CVA without being hurt
A new product could smoothe the gap between capital and accounting rules
Risk managers defend IRB against Tarullo criticism
Banks insist credit risk approach can be fixed - and remains more sensitive than stress tests
