Advanced Operational Risk Workshop

Day One

09.00 - 09.15 Welcome and Introduction

09.15 - 12.00 Operational Risks Events and their Loss Impacts

• Overview of Operational Risk
• Operational Risks Events and Measurement Methods
• Regulatory Treatment of Operational Risk

Workshop: Collecting, Validating and Using Loss Data

• Internal and External Data Sources
• Problems in Collecting Internal Data
• The Basel Loss Data Collection Exercise
• How to deal with operational loss data related to credit or market risk
• Loss Data Categorization
• Loss Attributes
• Business Metrics and KRIs

12.00 - 13.00 Lunch

13.00 - 16.30 Workshop: Quantifying Operational Risk

• The Modelling Process
• Measures of Risk
• Models for the Size of Losses
• Models for the Number of Losses
• Aggregate Loss Models
• Extreme Value Theory
• Multivariate Models
• Calibrating Models for Operational Risk
• Scenario Generations Using Multifactor Models
• Key Control Indicators and the Volatility of Losses
• Calculating Regulatory and Economic Capital for Operational Risk

Day Two

09.00 - 09.15 Brief recap

09.15 - 12.00 Workshop: Verifying and Validating an OP Risk Framework

• Purposes of Verification and Validation
• Verification of Internal Loss Data
• Testing Samples of Risk Control Self-Assessments
• Model Validation
  • Identification
  • Review process
  • Approval and monitoring
  • Input data, assumptions, logic and theory, computer code, output
  • Back-testing and out-of-sample testing
• OP Risk Framework Validation
  • Logic check for overall OR framework and framework elements

12.00 - 13.00 Lunch

13.00 - 16.00 Workshop: Operational Risk Reporting, Management and Control

• OR Risk Governance
• Responsibilities
• Senior Management
• Internal Audit
• Operational Risk Reporting
• Operational Risk Control
• Operational Cost Control
• Active Operational Risk Management – Risk Capital, Capital Allocation and Performance Measurement

Evaluation and Termination of the Workshop