This survey represents a comprehensive elicitation of perspectives on operational risk (OpRisk) modelling and practice, obtained from practitioners in a wide range of countries and sectors. The survey was developed and executed by two leading organizations in operational risk in the financial...

The management of operational risk in the banking industry has undergone significant changes over the last decade due to substantial changes in operational risk environment. Globalization, deregulation, the use of complex financial products and changes in information technology have resulted...

Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital estimation. It has however become well accepted to utlise a Loss Distributional Approach (LDA) paradigm to model...

Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach allows a provision for reduction of capital as a result of insurance mitigation of up to 20%. This paper studies different insurance policies in the context of capital reduction for a range of extreme loss...

Following the Loss Distributional Approach (LDA), this article develops two procedures for simulation of an annual loss distribution for modeling of Operational Risk. First, we provide an overview of the typical compound-process LDA used widely in Operational Risk modeling, before expanding upon...

In this paper, we model dependence between operational risks by allowing risk profiles to evolve stochastically in time and to be dependent. This allows for a flexible correlation structure where the dependence between frequencies of different risk categories and between severities of different...

Recently, Basel Committee for Banking Supervision proposed to replace all approaches, including Advanced Measurement Approach (AMA), for operational risk capital with a simple formula referred to as the Standardised Measurement Approach (SMA). This paper discusses and studies the weaknesses and...

Presentation on fundamentals of Operational Risk Modelling. The core components of a quantitative operational risk modelling framework. Based on references:1. Cruz MG, Peters GW, Shevchenko PV. Fundamental aspects of operational risk and insurance analytics: A handbook of operational risk. John...

Despite the importance and requirement of integrated reporting on human capital (HC), research indicates a lack of reporting frameworks and adequate disclosure in organization reports. Thus, a unique research opportunity is created for researchers to determine what is being presented in reports...