March 16, New York

Workshop 4: Forecasting and minimizing operational risk losses

PROGRAM

8:30 Registration, breakfast and introductions

9:00 Operational risk losses and the causes

Caroline Coombe, CEO, ORIC INTERNATIONAL

10:00 Morning break and refreshments

10:30 Effective ORM data for operational risk quantification

  • Need for disciplined "event accounting" (and how to produce it)
  • Extending taxonomy to incorporate additional perspectives within the organization
  • "Hard" data versus expert analysis and scenarios - how to integrate
  • ORM data as an "autonomic nervous system" for organizations

Richard Cech, Senior Bank Examiner, Operational Risk Governance, Financial Institution Supervision Group, FEDERAL RESERVE BANK OF NEW YORK

11:30 Using non-ORM data to extend analysis

  • Peer data networks
  • Unobtrusive measures (i.e. data people are not aware they're generating)
  • Big data and data mining
  • ORM as "risk historian" for organizations

Richard Cech, Senior Bank Examiner, Operational Risk Governance, Financial Institution Supervision Group, FEDERAL RESERVE BANK OF NEW YORK

12:30 Lunch

1:30 Applying power laws to operational risk losses over time to forecast the likelihoods of large losses across the industry

  • Operational losses, long tails, and power laws
  • Linear relationship in a log scale
  • Safety of the current capital soundness standards used for BIA and AMA
  • Forecast of operational losses exceeding BIA and AMA estimates

Robert Stewart, Economist, FEDERAL RESERVE BANK OF CHICAGO
Muffasir Badshah, Economist, FEDERAL RESERVE BANK OF CHICAGO

3:00 Afternoon break and refreshments

3:30 Mitigating operational risk losses

Gus Ortega, Director, Operational Risk Management, AIG

4:30 End of workshop

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