Operational risk modelling
Sigor consults on new AMA supervisory guidelines
AMA range of practices tackled in new Sigor paper.
Basel provides guidance on the use of insurance as a mitigant
Insurance covered
Operational Risk & Regulation data, November 2010
Analysis of operational risk loss events
Op risk appetite: Do firms have a balanced diet?
A balanced diet?
Study sheds light on why and how op risk errors happen
The ways of our errors
ORX surveys finds scenarios are thriving
The Operational Risk Data Exchange (ORX) recently surveyed its members about their use of scenarios in managing operational risk, and discovered firms attribute considerable value to the process
Understanding value at risk for insurers
Deborah Cernauskas, Gabriel David and Anthony Tarantino propose an amended approach to value-at-risk that focuses on the drivers of risk and the use of agent-based modelling and simulation to capture the bounded rationality of human decision-making
Sponsored feature: Taking liquidity stress testing to a higher level
Offering highly secure, high-availability software solutions that meet the trading industry’s needs for intensive transaction processing, advanced analytics and modelling, Sybase provides some perspective on the importance of liquidity stress testing and…
Brazil poised for real change on Basel II
Brazil is justifiably proud of the progress it had made in the implementation of Basel II, due for completion in 2013. However, a sudden increase in lending is raising a host of data issues and diverting management’s attention away from operational risk
OpRisk Europe: The slow drive for change
Speakers at OpRisk Europe agreed that, while change in op risk legislation and capital calculation is necessary, it needs to be undertaken slowly and carefully
Basel’s buffers won’t apply to op risk calculation
Basel Committee proposes capital buffer to be tied to macroeconomic indicators
Sigor assesses QIS data but capital rule changes will wait
Basel Committee considers recalibrating the simpler approaches to op risk measurement but says changes will happen later rather than sooner
Consortiums look beyond historical loss data
The financial crisis has shown historical loss data is not enough to help model and predict future op risk events, so some loss data consortiums are looking to include features such as scenario analysis results in their databases
How to make VAR go voom
An amended approach to value-at-risk that focuses on the drivers of risk and the use of agent-based modelling and simulation to capture the bounded rationality of human decision-making
Chinese banks’ AMA op risk projects on hold
AMA projects on hold as Chinese banks get to grips with credit risk portion of Basel II
Indian loss data consortium Cordex ready to float
The long-expected Indian op risk loss database is in the process of being floated as a private limited company
Clear and present danger
Transparency is a concept that has been bandied about by banks a lot lately, usually when they know the press is watching. But just how transparent are banking practices, and just how clear is the Basel approach to operational risk?
Morgan Stanley’s metrics in Cruz control
Marcelo Cruz Morgan Stanley's new global head of operational risk measurement and metrics
Cebs addresses next-generation AMA models
Paper seeks to harmonise rules for approving model changes under the advanced measurement approach (AMA)
Passage to India
It’s a long way from Basel to Mumbai, and it will be a while before India’s banks have fully implemented the Basel II capital requirements framework. OR&R looks at how far they have come, and the obstacles they must overcome on the path ahead
StanChart's Cherriman harnesses people power
Andrew Cherriman, head of operational risk management for wholesale banking at Standard Chartered Bank in Singapore, says his ability to rely on expert staff is the key to operating a sound risk management system across the bank’s many jurisdictions.