Operational Risk Management
September 11, 2015
Jadwal Pelatihan Operational Risk Management
Tanggal | Tempat | Kota | Belum ada jadwal terbaru |
Instructor by : Herry Achmad Buchory
OUTLINE MATERI Training Operational Risk Management
Introduction to Operational Risk Management
- What is Operational Risk?
- Operational Risk Exposure Indicators
- Classification of Operational Risk
- Internal versus External Operational Losses
- Direct versus Indirect Operational Losses
- Expected versus Unexpected Operational Losses
- Operational Risk Type, Event Type, and Loss Type
- Operational Loss Severity and Frequency
- Capital Allocation for Operational, Market, and Credit Risks
Operational Risk in BASEL II
- The Basel Committee on Banking Supervision
- The Basel Capital Accord
- Pillar I: Minimum Capital Requirements for Operational Risk
- Decomposition of Capital
- Capital for Expected and Unexpected Losses
- Three Approaches to Assess the Operational Risk Capital Charge
- The Basic Indicator Approach
- The Standardized Approach
- The Advanced Measurement Approaches
- Ten Principles of BASEL II
- The Pillars’ Action points
- More in depth with AMA: measurement system, framework, supervisory standard, and criteria
Challenge in Modeling Operational Risk
- Operational Risk Models
- Models Based on Top-Down Approaches
- Multifactor Equity Pricing Models
- Income/Exp. -Based Models
- Operating Leverage Models
- Scenario Analysis and Stress Testing Models
- Risk Indicator Models
- Models Based on Bottom-Up Approaches
- Process-Based Models
- Actuarial Models
- Proprietary Models
- Specifics of Operational Loss Data
- Scarcity of Available Historical Data
- Data Arrival Process
- Loss Severity Process
- Dependence between Business Units
Measuring Operational Risk Using Advance Measurement Approach
- Developing and designing Key Risk Indicator (KRI)
- Consideration of the use of a balanced scorecard
- Practical case studies using real business scenarios
- How to find key risk indicators were not working in practice?
- Case Study developing KRIs
- Practical case study reviewing an actual KRI database
- Frequency distribution of operational loss : using @RISK
- Binomial distribution
- Geometric Distribution
- Poisson distribution
- Negative Binomial Distribution
- Empirical distribution with operational loss data analysis
- Exercise case study
- Loss Severity Distribution : non-parametric and parametric distribution: using @RISK
- Non-parametric approach
- Parametric approach : common and mixture distribution
- Empirical Evidence with operational loss data
- Alpha Stable Distribution
- Extreme Value Theory (EVT)
- Truncated Distributions
- Exercise case study
Modeling Aggregate Loss Distribution
- Aggregating frequency loss and severity loss using @RISK
- Calculating OpVAR in Monte Carlo Simulation using @RISK
- Coherent Risk Measures
- VAR Sensitivity Analysis
- Backtesting VAR
- Benefits and Limitations of VaR and Alternative Risk Measures
- Empirical Studies with operational loss data
TRAINING METHOD
Presentation
Discussion
Case Study
Evaluation
FACILITY
Training Kit
Handout
Certificate
Lunch + 2 X Coffee Break
Souvenir
Pick Up Participants (Yogyakarta)
TRAINING FEE for Operational Risk Management
Rp7.000.000, – /peserta/Non Residential
Minimal 3 peserta