Operational risk capital
Standardized measurement approach: is comparability attainable?
This paper considers the claim of improved comparability of SMA outcomes by considering the ability to compare “internal loss experience” between banks.
The problems with conduct risk loss aggregation
Aggregation of conduct risk losses is recommended practice, but it can seriously distort capital calculations
Fed economist advocates combining internal models with SMA
SMA could act as a floor for calculating op risk RWAs, suggests Filippo Curti
Basel still pushing for capital model floors
Bank treasurers call plan to underpin internal models with standardised floors “unmanageable”
Can the AMA be reborn?
Regulators could rescue op risk modelling through Pillar 2, writes former supervisor
Tweaks to standard op risk method not enough, experts warn
Basel Committee to integrate insurance and divestitures, but SMA still lacks forward-looking approach
Custom models work better for op risks, research finds
Bayesian approach touted for mis-selling and other management failures
Two-regime approach saves up to 30% op risk capital
Modelling shift to 'crisis mode' mitigates pro-cyclical calculations
An assessment of operational loss data and its implications for risk capital modeling
The author of this paper assesses operational loss data and its implications for risk capital modeling.
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
Bank size and tail losses skewing SMA calculation
Op risk researchers criticise logic of planned new capital method
Fed paper stirs debate on new operational risk charge
Researchers offer academic justification for Basel's standardised measurement approach
How to turn uncertainties of operational risk capital into opportunities from a risk management perspective
Going beyond the regulatory requirements to operational risk measurement, the authors of this paper aim to provide relevant business applications to a bank.
Basel’s Adachi: banks may discard some loss data under SMA
Losses from discontinued businesses may not count towards op risk capital
Euro banks to bear brunt of €115bn SMA capital hike: study
"You will get some winners and some losers, but with this it's mostly losers," says ORX's Carrivick
Correlation of op risk losses could send capital soaring
BB&T auditor's model shows capital measured by LDA might be pushed up by 16–55%
Conference hears fierce criticism of Basel op risk plans
Op risk professionals pour scorn on SMA charge, but some bank experts speak out in favour
Basel op risk reform proposal expected to be delayed
Consultation on scrapping operational risk modelling is now expected in early 2016
Basel Committee readies op risk and FRTB releases
Supervisors under pressure to finalise post-crisis reforms to capital rules
Comparing alternative mixing models for external operational risk data
Mixing, not scaling, best approach for using external losses
Independent asset managers lag bank, insurer-owned peers on op risk
Capital requirements incentivise banks and insurers to enhance op risk management
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.
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