Lorenzo Hernández, Jorge Tejero, A. Suárez, Santiago Carrillo-Menéndez
{"title":"Closed-form approximations for operational value-at-risk","authors":"Lorenzo Hernández, Jorge Tejero, A. Suárez, Santiago Carrillo-Menéndez","doi":"10.21314/JOP.2013.132","DOIUrl":"https://doi.org/10.21314/JOP.2013.132","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"81 1","pages":"39-54"},"PeriodicalIF":0.5,"publicationDate":"2013-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74555710","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"How much should creditors worry about operational risk? The credit default swap spread reaction to operational risk events","authors":"Philipp Sturm","doi":"10.21314/JOP.2013.134","DOIUrl":"https://doi.org/10.21314/JOP.2013.134","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"46 1","pages":"3-25"},"PeriodicalIF":0.5,"publicationDate":"2013-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75950639","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"A simple model for pseudo-nonstationarity in operational risk loss data due to interest rate dependency and reporting threshold","authors":"Gerrit Arlt, Frank Neumann, U. Milkau","doi":"10.21314/JOP.2013.129","DOIUrl":"https://doi.org/10.21314/JOP.2013.129","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"65 1","pages":"27-37"},"PeriodicalIF":0.5,"publicationDate":"2013-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80834749","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The manipulation of LIBOR rates was not a localized event. Unscrupulous traders and managers in some of the largest banks around the world deliberately and systematically manipulated borrowing rates. It was not the work of isolated 'rogue traders' but part of business-as-usual in the international money markets. This paper describes the LIBOR Scandal and argues that it is an example of Systemic Operational Risk, in particular People Risk. The paper first describes the LIBOR setting process. The explosive growth over the past 25 years in the use of Interest Rate Swaps (IRS) and the process of resetting rates on IRS, which ultimately led to the unethical manipulation of the underlying LIBOR rates, is then described. The paper then looks at official inquiries into manipulation of LIBOR at three banks: Barclays, UBS and RBS to identify examples of Operational Risk. The transcripts of conversations unearthed by these investigations show rampant illicit activities that were apparently a normal part of doing business, as traders, LIBOR submitters and brokers colluded to manipulate LIBOR for their own interests. Finally, the paper makes some suggestions as to how the management of Systemic Operational Risks may be addressed by banks and regulators.
{"title":"Systemic Operational Risk - The Libor Manipulation Scandal","authors":"P. Mcconnell","doi":"10.21314/JOP.2013.127","DOIUrl":"https://doi.org/10.21314/JOP.2013.127","url":null,"abstract":"The manipulation of LIBOR rates was not a localized event. Unscrupulous traders and managers in some of the largest banks around the world deliberately and systematically manipulated borrowing rates. It was not the work of isolated 'rogue traders' but part of business-as-usual in the international money markets. This paper describes the LIBOR Scandal and argues that it is an example of Systemic Operational Risk, in particular People Risk. The paper first describes the LIBOR setting process. The explosive growth over the past 25 years in the use of Interest Rate Swaps (IRS) and the process of resetting rates on IRS, which ultimately led to the unethical manipulation of the underlying LIBOR rates, is then described. The paper then looks at official inquiries into manipulation of LIBOR at three banks: Barclays, UBS and RBS to identify examples of Operational Risk. The transcripts of conversations unearthed by these investigations show rampant illicit activities that were apparently a normal part of doing business, as traders, LIBOR submitters and brokers colluded to manipulate LIBOR for their own interests. Finally, the paper makes some suggestions as to how the management of Systemic Operational Risks may be addressed by banks and regulators.","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"15 1","pages":"59-99"},"PeriodicalIF":0.5,"publicationDate":"2013-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78810449","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Effects of the financial crisis on banking operational losses","authors":"Eric Cope, L. Carrivick","doi":"10.21314/JOP.2013.125","DOIUrl":"https://doi.org/10.21314/JOP.2013.125","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"137 1","pages":"3-29"},"PeriodicalIF":0.5,"publicationDate":"2013-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89142787","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"A new operational risk assessment technique: the CASTL method","authors":"L. Štěpánek, R. Urban, R. Urban","doi":"10.21314/JOP.2013.128","DOIUrl":"https://doi.org/10.21314/JOP.2013.128","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"18 1","pages":"101-117"},"PeriodicalIF":0.5,"publicationDate":"2013-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82399529","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In this paper we propose a novel approach to measure risks, when the data available are expressed in an ordinal scale. As a result we obtain a new index of risk bounded between 0 and 1, that leads to a risk ordering that is consistent with a stochastic dominance approach. The proposed measure, being non parametric, can be applied to a wide range of problems, where data are ordinal and where a point estimate of risk is needed. We also provide a method to calculate confidence intervals for the proposed risk measure, in a Bayesian non parametric framework. In order to evaluate the actual performance of what we propose, we analyse a database provided by a telecommunication company, with the final aim of measuring operational risks, starting from a self-assessment questionnaire.
{"title":"Measuring risk with ordinal variables","authors":"Silvia Figini, Paolo Giudici","doi":"10.21314/JOP.2013.122","DOIUrl":"https://doi.org/10.21314/JOP.2013.122","url":null,"abstract":"In this paper we propose a novel approach to measure risks, when the data available are expressed in an ordinal scale. As a result we obtain a new index of risk bounded between 0 and 1, that leads to a risk ordering that is consistent with a stochastic dominance approach. The proposed measure, being non parametric, can be applied to a wide range of problems, where data are ordinal and where a point estimate of risk is needed. We also provide a method to calculate confidence intervals for the proposed risk measure, in a Bayesian non parametric framework. In order to evaluate the actual performance of what we propose, we analyse a database provided by a telecommunication company, with the final aim of measuring operational risks, starting from a self-assessment questionnaire.","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"5 1","pages":"35-43"},"PeriodicalIF":0.5,"publicationDate":"2013-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78336866","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Alternative approaches to generalized Pareto distribution shape parameter estimation through expert opinions","authors":"Claudio Andreatta, D. Mazza","doi":"10.21314/JOP.2013.121","DOIUrl":"https://doi.org/10.21314/JOP.2013.121","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"104 1","pages":"47-72"},"PeriodicalIF":0.5,"publicationDate":"2013-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86591054","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Measuring the operational risk of Chinese commercial banks using the semilinear credibility model","authors":"Jingkun Lu, Lei Guo, Xing Liu","doi":"10.21314/JOP.2013.123","DOIUrl":"https://doi.org/10.21314/JOP.2013.123","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"9 1","pages":"3-34"},"PeriodicalIF":0.5,"publicationDate":"2013-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79821023","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"A comparison of numerical approaches to determine the severity of losses","authors":"H. Gzyl, P. Novi-Inverardi, A. Tagliani","doi":"10.21314/JOP.2013.117","DOIUrl":"https://doi.org/10.21314/JOP.2013.117","url":null,"abstract":"","PeriodicalId":54030,"journal":{"name":"Journal of Operational Risk","volume":"72 1","pages":"3-15"},"PeriodicalIF":0.5,"publicationDate":"2013-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86616002","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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