WORKSHOP 3: How can benchmarking be applied to operational risk: theoretical and practical perspectives

8:30 Registration and breakfast
9:00 Introduction to the topic and workshop: Benchmarking - Theoretical Grounding in Practical Perspectives

Diane R. Maurice, Operational Risk Coordinator, Wells Fargo Dedicated Team, FEDERAL RESERVE BANK OF SAN FRANCISCO

9:30 Benchmarking for Operational Risk: AMA and Stress Testing Models

An effective model validation framework requires establishing a strong benchmarking process. However, models for operational risk measurement are still in their infancy and establishing quantitative benchmarks requires some groundbreaking work to provide useful metrics. This session will focus on some of the challenges to developing meaningful internal and external benchmarks for AMA capital and stress testing models. The session will outline some practical steps toward establishing a benchmarking process. A menu of potential benchmarks will be presented using hypothetical data to illustrate metric calculations as well as benchmark uses, limitations, and requirements for successful interpretation and application.

Risk professionals, compliance professionals, and auditors who are involved in operational risk model development or validation at any level within their organization should find this session valuable. It is helpful, but not entirely necessary, that participants have some familiarity with AMA Operational Risk capital models and/or stress testing.

Samantha C. Roberts, Director, Operational Risk Analytics, CAPITAL ONE

11:00 Morning coffee break

11:30 Types of benchmarking - regular, internal benchmarking and strategic benchmarking

Bakhodir Ergashev, Senior Economist, the Office of the Comptroller of the Currency, US Department of Treasury

12:30 Lunch

1:30 Benchmarking Integrated Risk Management: Leveraging All-Insight Sources to Enable Business Objectives
A former Ironman Triathlete compares similarities between one of the world's most difficult endurance events with today's operational risk management challenges. Topics include how holistic strategies/mindsets, performance measurement & benchmarking, scenario/dependency analysis can reduce uncertainty and enable achievement of objectives. In addition, Mr. Gerden will discuss resiliency techniques including how to apply lessons dynamically and adapt to changing risk environments.

Robert Gerden, Senior Vice President, WELLS FARGO

3:00 Afternoon break

3:30 Benchmarking and applicability to operational risk


About this workshop:

Benchmarking for risk, while a relatively new discipline for operational risk, is firmly rooted in other risk disciplines including credit risk and derivative/market risk management. This day-long session will discuss theoretical underpinnings of benchmarking including statistical methodology, perspectives from other risk disciplines and practical applications for operational risk management. Practitioners, academics and regulators will offer insight on how benchmarking can be utilized to mitigate modeling uncertainty and incorporate both qualitative and quantitative risk elements in assessing operational risk. An iterative discussion will address key questions related to the potential for benchmarking to be integrated with stress testing and economic capital estimation.

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