BandungPerbankan & KoperasiYogyakarta

Operational Risk Management

Jadwal Pelatihan Operational Risk Management

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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 Participant

  

TRAINING FEE for Operational Risk Management

Rp.7.000.000, – /Peserta /Non recidential

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