Tags » Operational Risk

Bob Shaw Talks T+2 with Fund Technology

By Jennifer Molgano

Following Europe’s lead, the U.S. and Canada have been moving from T+3 toward T+2 settlement cycles, putting the pressure on middle- and back-office operations that facilitate trade confirmation. 442 more words

Technology
Risk.net presents the top 10 operational risks of 2017, as chosen by risk practitioners.

In a series of interviews that took place in November and December 2016, Risk.net spoke to chief risk officers, heads of operational risk and other op risk practitioners at financial services firms, including banks, insurers and asset managers. 195 more words

Risk

Estimate Regression with (Type-I) Pareto Response

The Type-I Pareto distribution has a probability function shown as below

f(y; a, k) = k * (a ^ k) / (y ^ (k + 1))
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Statistical Models

More about Flexible Frequency Models

Modeling the frequency is one of the most important aspects in operational risk models. In the previous post (https://statcompute.wordpress.com/2016/05/13/more-flexible-approaches-to-model-frequency), the importance of flexible modeling approaches for both under-dispersion and over-dispersion has been discussed. 311 more words

Statistical Models

Modified Park Test in SAS

The severity measure in operational loss models has an empirical distribution with positive values and a long tail to the far right. To estimate regression models for severity measures with such data characteristics, we can consider several candidate distributions, such as Lognormal, Gamma, inverse Gaussian, and so on. 412 more words

Statistical Models

Parameter Estimation of Pareto Type II Distribution with NLMIXED in SAS

In several previous posts, I’ve shown how to estimate severity models under the various distributional assumptions, including Lognormal, Gamma, and Inverse Gaussian. However, I am not satisfied with the fact that the supporting domain of aforementioned distributions doesn’t include the value at ZERO. 291 more words

Statistical Models

Is Brexit an opportunity to transform your operating model?

A lot has been talked about Brexit, its repercussions and long-term impact to businesses, clients and global economic order. While these are macroeconomic issues, organisations small, medium and large must understand the institutional impact of Brexit – i.e. 48 more words

Private Equity