DAY 1

Session 1 Introduction: Examples of high-magnitude Operational Losses

Basel II / III

• The Basel Accords – Evolution of OpRisk
• Role of Operational Risk within Basel II / III
• Key Elements of Basel II / III regarding OpRisk

Session 2 – Operational Risk-Framework / Governance

• BIS Governance Principles October 2014
• Definition of Operational Risk
• Basel III Progress / BIS Principles for the Sound Management of Operational Risk / October 2014
• Roles & Responsibilities
  • Risk Controlling
  • Risk Management
  • Audit
  • Others
• Basic Data Structures
  • Organisational vs. Process View
  • Loss Bearer, Risk Taker, Risk Owner
• Committees
• Key Policies in OpRisk
• Basel II-Approaches
• Basel III Progress / Operational Risk – Revisions to the Simpler Approaches
• Rolling out Operational Risk in the Organisation / Training to facilitate successful Implementation of Operational Risk

Session 3 – Loss Data

• Internal Loss Data
  • Date of Loss
  • Loss Amount Components
  • Loss Capture Process
  • Data Quality and Completeness
• External Loss Data
  • Appropriate External Data
  • Learning From External Data
  • External Data Process
  • ORX consortium
• Reporting Loss Data

Risk and Control Self-Assessment / Scenario Analysis

• Qualitative and Quantitative Scenario Data
• RCSA / Self Assessment-Process
• Reporting RCSA / Self Assessment

Session 4 – Key Risk Indicators

• Finding meaningful and actionable KRI
• KRI-Process
• Reporting KRI

Session 5 – Other OpRisk Issues (part 1)

• Case Studies & Attendees’ Examples
• Business Continuity Planning
• Fraud / Credit Cards
• IT Risk / Cyber Security
• Risk Mitigation, e.g. Outsourcing & Insurance

DAY 2

Session 6 – Advanced Operational Risk Quantification: Measurement of OpRisk (AMA)

• Basel III Progress / Updated BIS Guidelines on the Advanced Measurement Approach
• The Problem of Data Scarcity
  • Availability of Data vs. Granularity
• Combination of Methods
  • Quantitative Modelling
  • Qualitative Adjustments
• Loss Data Selection & Preparation
  • Operational Risk Cells
  • Scaling of External Data
• Fitting of Loss-Distributions
  • Choice of Distributions
  • Goodness-of-Fit Estimators
• Scenario-Distributionskurz
  • Choice of Distributions
  • Calculation of Distribution Parameters
• Basic Monte-Carlo-Simulation
  • MCS Convergence
• Including Correlations & Dependencies
• Interpretation of Results (e.g. Expected vs. Unexpected Loss)

Session 7 – Controlling of Operational Risk & Integration into the overall Risk & Capital Management

• Qualitative Adjustments
  • Adjustment Amount(s)
  • Adjustment Structure
• Risk & Capital Allocation and Risk Contributions
  • Target Structure
  • Risk-Sensitive Breakdown of OpRisk
• OpRisk-Limits
• Value-at-Risk and Economic Capital
• Risk-adjusted Performance
• Risk Bearing Capacity
• Risk Appetite
• Reporting Operational Risk Quantification

Session 8 – Operational Risk Reporting

• BIS Principles for Effective Data Aggregation and Risk Reporting / January 2013
• Report Recipients
• Report Frequency
• Actionable Management Reports

Session 9 – Other OpRisk Issues (part 2, resumed from day 1)

• Case Studies & Attendees’ Examples
• Business Continuity Planning
• Fraud / Credit Cards
• IT Risk / Cyber Security
• Risk Mitigation, e.g. Outsourcing & Insurance

End of Programme

For a detailed profile of the course director, please fill in a brochure request.

The venue of the training is always in a centrally located 4-5 star hotel. The venue is confirmed 2 weeks before the programme once registration is closed and we know the exact number of delegates attending. We have exclusive rates with the hotel, if you require accommodation during the programme.