Modelling of operational risk capital and insurance
View AgendaKey reasons to attend
- Stay up to date with the latest regulatory guidelines
- Explore the integration of insurance in operational risk management
- Gain practical skills in risk and insurance optimisation using Microsoft Excel
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About the course
Gain comprehensive insights into the modelling of operational risk capital and insurance with this interactive learning experience.
Guided by subject matter experts, this course delves into the evolution of operational risk models, emphasising the regulatory framework with a focus on the new standardised measurement approach (SMA) and advanced measurement approach (AMA). Participants will explore advanced data analysis techniques essential for understanding and managing these risks.
The course also explores the role of insurance, discussing its function from loss mitigation angles to the technicalities of risk transfer. A standout feature is the hands-on Microsoft Excel demonstration, equipping attendees with practical tools to apply concepts in their professional environments.
This course ensures a solid understanding of the theoretical underpinnings and tangible skills necessary for effective risk management.
Learning objectives
- Analyse data for internal loss data (ILD) and external loss data (ELD)
- Employ Monte Carlo simulations in risk modelling
- Aggregate losses and understand units of measurement
- Leverage insurance for loss mitigation and capital deduction
- Map insurable risks to Basel event types
- Optimise insurance strategies through various modelling parameters
Who should attend
Relevant departments may include but are not limited to:
- Risk management
- Insurance modelling
- Operational risk departments
- Financial analysis
Agenda
Sessions:
- Regulatory guidelines for operational risk capital modelling
- Loss data and scenario analysis
- Aggregation of losses and UoMs
- Insurance in operational risk
- Risk transfer mechanics and simulations
- Excel modelling
Pre-reading materials
The Risk.net resources below have been selected to enhance your learning experience:
- Machine learning for categorization of operational risk events using textual description - Read article
- The information value of past losses in operational risk - Read article
- Measuring tail operational risk in univariate and multivariate models with extreme losses - Read article
A Risk.net subscription will provide you access to these articles. Alternatively, register for free to read two news articles a month.
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