This paper proposes an alternative framework to set banks’ operational risk capital, which allows for forward … vulnerability to gaming of the AMA and the lack of risk-sensitivity of BCBS’s new standardized approach for operational risk …

The 2004 Basel II accord requires internationally active banks to hold regulatory capital for operational risk, and the … Federal Reserve's Comprehensive Capital Analysis and Review (CCAR) requires banks to project operational risk losses under … stressed scenarios. As a result, banks subject to these rules have measured and managed operational risk more rigorously. But …

Operational risk models, such as the loss distribution approach, frequently use past internal losses to forecast …

Operational risk is a substantial source of risk for US banks. Improving the performance of operational risk models … allows banks’ management to make more informed risk decisions by better matching economic capital and risk appetite, and … allows regulators to enhance their understanding of banks’ operational risk. We show that past operational losses are …

-term bondholders and (mostly) risk-taking long-term bondholders. We establish that investor demands for safety create a negative …

and run risk. Banks choose between liquid and illiquid assets on the asset side, and between deposits and equity on the … as to provide liquidity and risk-sharing services to the real economy. Our modifications create wedges in the asset and …

This technical note describes the Forward-Looking Analysis of Risk Events (FLARE) model, which is a top-down model that …

the sovereign risk is sufficiently high, low-capital banks reduce private lending to further increase their holdings of …

regulatory capital twice as large as the bank that sets the lowest LGDs. We argue that these differences in risk parameters … re lation between banks' LGDs and their shares in loan syndicates, suggesting that differences in risk parameters have …