Bayesian modelling
Book extract > Integration of Qualitative and Quantitative Operational Risk Data: A Bayesian Approach
The aim of this chapter is to provide a Bayesian model thatallows us to manage operational risk and measure internally thecapital requirement, compliant with the Advanced MeasurementApproaches (AMA) recommended by Basel Committee on BankingSupervision …
Op risk assessment hampered by lack of reliable data
Inadequacy of loss expectation data is a major cause of modelling risk for operational risk strategies, said Carol Alexander, professor of the ISMA Centre at the University of Reading in the UK, at Risk's annual European conference.
Roundtable > Operational risk quantification: a discipline at a crossroads
Operational Risk magazine held its first European roundtable during Risk magazine's annual European congress, in Paris, on April 9.
Basel's CDO solution
As the Basel Committee on Banking Supervision continues its stately progress towards a revised capital Accord, one area remains under debate: the proposed capital rules for asset securitisations.
Algo teams up with Agena to solve op risk data history issue
Canadian risk management technology supplier Algorithmics has teamed up with UK software company Agena to help institutions to model operational risk better.
Back to Bayesics
Gerald Sampson, of Saratoga Consulting, argues that a Bayesian approach to analysing transaction failures produces superior results.
Op Risk Looks Back... To the 18th Century
The 300-year-old statistical methods of Thomas Bayes are experiencing a renaissance.
Using Bayesian networks to predict op risk
By combining qualitative and quantitative data, Bayesian networks offer the perfect solution to the compelling need for an integrated approach to operational risk management, say Martin Neil and Ed Tranham.
Measuring the Unexpected
The events of Sept. 11 brought increased attention and confusion to the practice of managing operational risk.
Basel II - Rules and Models
The proposed operational risk charge remains one of the most contentious areas of the new Basel Accord. Carol Alexander reviews the current proposals in the context of various simple models, and argues that practical implementation will require the use…
An advanced model for op risk capital calculation
The Basel II regulators need to develop a comprehensive approach to op risk modelling, says Tony Blunden in his final article on the new capital accord.