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Operational Risk Frameworks
COURSE TYPE : [ ADVANCED ]
COURSE DURATION : 3 Days

This course is designed for advanced risk practitioners and reviews the approaches that are used in operational risk to measure exposure from a mathematical perspective however we take in the full spectrum of elements that are needed to model operational risk capital in a bank.

 

Special care is taken to create a set of definitions that will allow course attendees to grasp concepts quickly and while certain case examples are complicated, they are delivered in a real life perspective so that comprehension is high.

 

Who Should Attend
Risk Analysts Risks analysts will gain an understanding on how to build an integrated measurement framework.
Compliance TeamsCompliance teams will clearly be able to see the delineation between risk and compliance, learn how to break down the silos that exist in banks.
Auditors Understand how and why Risk Based Audit crosses over risk management, gain mutual benifit
Change Management How can risk programs derive benefits for the organisation outside compliance, learn how to set achievable benchmarks that drive lower error and reduce operational risk capital charges.

 

  AFTER THE COURSE YOU SHOULD BE ABLE TO

1)     Understand how to establish a Basel II risk taxonomy

2)     Create an effective control assessment and scenario program

3)     Model operational risk capital parametrically

4)     Understand the statistics around process efficiency and failure

5)     Be able to predict loss using a various techniques

6)     Be confident in planning resources for failure

7)     Understand risks & drivers in banking facilities

8)     Apply risk adjusted return on capital for operational risk

9)     Build a responsive early warning indicator system & dashboard

10)  Align policy for the bank against risk tolerance and appetite

  

 

 

MAIN TOPICS COVERED

Introduction to Op Risk

  • Overview of the basel accord
  • The top down cycles of operational risk
  • A look at industry regulation
  • What have other banks accomplished and how
  • What are the common hurdles banks experience
  • sbAMA, LDA or RDCA what are the differences

 

Definition Cards

  • How to build up a definition for loss capture
  • How to connect policy to the model
  • Take a look at industry definition models
  • Loss cards for eary deployment
  • Learn how to relate potential loss to products
  • What are the effects of l

 

Loss Data

  • What fields need to be catpured for the model
  • Build a key relationship database from scratch
  • Learn about threasholds and capture
  • What are the effects of policy on loss data
  • Look at a bank wide key loss reporting workflow
  • How are central bank functions managed

 

Key Risk Indicator Frameworks

  • Look at the key pieces to a KRI system
  • How are KRI's set for products and processes
  • How to build up a KRI dashboard
  • Link KRI to policy to drive performance

 

Control Frameworks

  • How to setup a score card
  • Learn methods around disriminant analysis
  • How to benchmark / grade control effectiveness
  • What are the issues around weightings
  • Build a control position database
  • What are bayesian control approaches

 

Scenario Analysis

  • How to model the causes for unexpected events
  • How to build a forward looking exposure model
  • Use scenario analysis for early event analysis
  • Connect event magnitude and frequency

 

Component Integration

  • How to integrated each framework element
  • Best Practice methods for reporting
  • How can compliance benefit from integration
  • Gain an end-to-end value chain view of risk

 

Introduction to Op Risks Stats

  • Gain instight in frequency loss models
  • How can such models be used to
  • Curve fit potential loss
  • Use a statistical tool to model loss

 

Loss models and PDF's

  • Build up a matrix of potential losses
  • Look at various techniques for external data
  • Severity Loss Model Approaches
  • Learn the importance of the loss matrix

 

OpVaR, Monte Carlo and Capital

  • Build up a final VaR report for operational risk
  • Model Risk Adjusted Return on Capital
  • Diversified and Undiversified Captial Models
  • Look at monte carlo simulation
  • Gain insight into extreme value theory
  • What are the effects of corrective actions on exposure models
  • How can the model be backtested?