BandungNovember 2015November 2016Perbankan & KoperasiSeptember 2015Yogyakarta

Operational Risk Management

Jadwal Training Operational Risk Management:

    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





    Case Study




    Training Kit



    Lunch + 2 X Coffee Break


    Pick Up Participant


    TRAINING FEE for Operational Risk Management

    Rp.7.000.000, – /Peserta /Non recidential

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