Operational Risk Capital Models
First published:
ISBN: 9781782722014
If you are a Risk.net subscriber you are entitled to 20% off your Risk books purchases. Please email enquiries@riskbooks.com for more information.
As part of your Risk.net subscription you are entitled to 20% off all of your Risk Books purchases. If you would like to place an order please email enquiries@riskbooks.com
Strategic and Operational Business Planning and Monitoring
Rafael Cavestany, Lutz Baumgarten and Brenda Boultwood
Introduction
Collection of Operational Loss Data: ILD and ED
Scenario Analysis Framework and BEICFs Integration
Loss Data Modelling: ILD and ED
Scenario Analysis Modelling
BEICFs Modelling and Integration into the Capital Model
Hybrid Model Construction: Integration of ILD, ED and SA
Derivation of the Joint Distribution and Capitalisation of Operational Risk
Backtesting, Stress Testing and Sensitivity Analysis
Evolving from a Plain Vanilla to a State-of-the-Art Model
Strategic and Operational Business Planning and Monitoring
Risk–Reward Evaluation of Mitigation and Control Effectiveness
We now look at the embedding of the risk profile, calculated as presented in Part II, into the strategic and operational business planning and its monitoring. We have structured this chapter into the following sections:
- □
“Integrating the operational risk profile into the strategic and operational planning”: In this section, we examine the means and key considerations when integrating the operational risk profile into the strategic and operational business planning process.
- □
“Integrating capital results into the GRC risk reporting”: Here, we look at the integration of the capital results into the overall reporting of the GRC.
- □
“ORA for monitoring the strategic and business plan”: This section introduces the a framework for operational risk appetite – or ORA – and its use in the monitoring of the operational risk profile in accordance with the business plan.
INTEGRATING THE OPERATIONAL RISK PROFILE INTO THE STRATEGIC AND OPERATIONAL PLANNING11This section has been contributed by Lutz Baumgarten.
Introduction
Since the onset of the financial crisis in 2007, the industry has moved in the direction of a more integrated (or holistic) approach towards
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
