Loss distribution approaches (LDAs)
Measures for measures
Consistent quantitative operational risk measurement is vital to the health of banks and financial institutions. Andreas Jobst offers guidance on enhanced market practice and risk measurement standards
Standing on the threshold
A 'one distribution fits all' approach is not the best option for op risk models. Carsten Steinhoff and Rainer Baule explain why a tailor-made model is therefore vital to the accuracy of loss distribution models
A better approach to operational risk aggregation
Professor Carol Alexander proposes an aggregation methodology that takes account of dependencies between op risk losses that have some common risk drivers.
Quantifying the op risk in investment fund valuation
Fund management is often forgotten in the wider push towards quantitative operational risk management. Here, François Longin and Gautier Martin take a closer look at the operational risk that accompanies fund valuation.
How to avoid overestimating capital charges for op risk
Pooling internal and external data is a central issue to estimating capital charges for operational risk. Here, Nicolas Baud, Antoine Frachot and Thierry Roncalli of Crédit Lyonnais discuss the methodology they have developed.
Measuring the operational risk of fund valuation companies
How can we model the losses due to operational risk in asset management? The loss process approach provides an answer specifically suited to this question for the fund valuation business and is in line with the work in progress of the Basel Committee on…
Op Risk Looks Back... To the 18th Century
The 300-year-old statistical methods of Thomas Bayes are experiencing a renaissance.
The Basle II capital accord: op risk proposals in brief
This summary has been updated to include the revisions to the Basle II op risk proposals contained in the Working Paper on the Regulatory Treatment of Operational Risk issued in September, 2001 and available on the Bank for International Settlements’…
The Basel II capital accord: op risk proposals in brief
This summary has been updated to include the revisions to the Basel II op risk proposals contained in the Working Paper on the Regulatory Treatment of Operational Risk issued in September, 2001 and available on the Bank for International Settlements'…
A major improvement
In May, David Rowe wrote that the Basel Committee ‘could do better’ with respect to the inclusion of operational risk in the capital Accord. Here, he says the working paper the committee published in late September outlines a major and valuable…
Advanced measurement approaches
The September working paper on operational risk from the Basel Committee on Banking Supervision confirmed that global banking regulators are looking at a range of advanced ways of calculating op risk capital charges instead of a single method.
Insurers get amber light with some green
BASEL - Global banking regulators have signalled they might agree to a role for operational risk insurance in the Basel II bank capital accord.
Moving to the centre
Basel II means banks will have to centralise the management of operational risk or lose out to competitors.
Five reasons why regulators should approve the loss-distribution approach
The Basel Committee shied away from the most risk-sensitive way of calculating an op risk charge, says Michael Haubenstock. He argues for a green light.