This article evaluates whether US large bank operational risk capital requirements are forward-looking, sensitive to … banks' current exposures, and allow for risk mitigation, and discusses modifications that could bring regulation closer to …

While substantial amount of work in operational risk has been dedicated to fitting distributions to the loss data ….P. Burnham and D.R. Anderson, 2002 in the context of the operational risk capital modeling, including the use of information …

This article evaluates whether US large bank operational risk capital requirements are forward-looking, sensitive to … banks' current exposures, and allow for risk mitigation, and discusses modifications that could bring regulation closer to … standardized approach for operational risk put forward by the Basel Committee, and CCAR. Unless modified, the new standardized …

Building on a new theory of parametric risk models initiated in Hürlimann(1998), it is shown how mean scaled individual … risk models can be constructed. The approximate computation of their distributions and related quantities can be done in … of models. The method is applied to the construction of a mean scaled operational risk model …

We propose a new approach that reconciles traditional working capital management with risk management principles. By … extending the traditional working capital approach, we develop a risk-adjusted working capital model. We examine the … regression, we find mixed evidence supportive of the risk-adjusted working capital model. Sectoral analysis reveals heterogeneous …