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Ahead of the 3rd Edition IRB Models, the Standardised Approach for Credit Risk, and Capital Floors Conference, we spoke with Gottfried Gruber, Senior Examiner, On-Site Supervision Division at Oesterreichische Nationalbank, about how IRB models can be best developed for low default portfolios.…Continue
As the FRTB implementation race begins, it is crucial that banks now get a thorough understanding of the structure of trading desks, refine operating models and the front office and transform the market risk infrastructure effectively in order to meet the so called ‘FRTB standard’. With less that 18 months to go, banks are under pressure to develop high quality and consistent projects that will minimise the risk of capital charges and ensure integrity across the front office, risk and…Continue
Ruben Cohen is an operational risk consultant. He has been working in the financial industry for over 17 years, with most of the last 10 in operational risk analytics at Citi.
Prior to that, Ruben spent 10 years on the faculty of Mechanical Engineering & Materials Science at Rice University in Houston, specializing in Fluid Mechanics and…
Operational risk management is currently on the end of a major shakeup. Ever since the announcement of Basel III banks have been working within a paradigm that pushes towards either TSA or AMA approaches (standardised and advanced approaches respectively). At the end of 2015, however, the Basel…Continue