Remind Me
SEMINAR Three, March 23
SEMINAR 3: Stress testing and scenario analysis for operational risk
led by
Karl R. Chernak, Senior Vice President, Director of Operational Risk Quantification and Scenario Analysis, RBS Citizens Financial Group
Antonina Durfee, Senior Risk Manager of Advanced Analytics, Citizens Bank, RBS NA
Ken Swenson, Senior Vice President, TD BANK
- 09:00 Fundamentals of Scenario Analysis (part 1): Aligning Purpose, Usage and Interpretation
• Philosophical considerations, objectives, and implications; Types of scenarios and purposes for their analysis; Quantifying uncertainty with precision for capital adequacy
(Lead Presenter: Karl Chernak)
- 10:30 Morning break
- 11:00 Fundamentals of Scenario Analysis (part 2): Definitions, Principles, Generation and Maintenance (including working examples)
- The role of Scenarios in an AMA Framework; Scenario Analysis Objectives; UOM / LOB / ET Combinations; Scenario selections andmaintenance
(Lead Presenter: Ken Swenson)
- 12:30 Lunch
- 1:30 Integration of Scenario Analysis into a Basel II AMA (Basel II - Pillar 1): Quantification, Sensitivity Testing and Stress Testing
- Range of practice on integrating scenario analysis data into AMA; Quantification philosophies and methodologies; Sensitivity and stress testing approaches
(Lead Presenter: Tonia Durfee)
3:00 Afternoon break
- 3:30 Use of Scenario Analysis & Stress Testing in an ICAAP Framework (Basel II - Pillar 2)
- ICAAP Stress Testing: Linking key OpRisk business line / loss event combinations to other risk classes (credit, market, reputational) via inter-risk scenarios (i.e. credit > op; op > reputational; etc.); Provide a baseline understanding of ICAAP process, including tips on how to implement and communicate with respect to operational risk
(Presenters: Ken Swenson/Tonia Durfee)
- End of Seminar
Speaker biography
Karl R. Chernak is Senior Vice President and Director of Operational Risk Management Quantification and Scenario Analysis at RBS Citizens Financial Group, where he has served in this capacity since joining the Company in 2006. Previously, he was Director of Small Business Credit Scoring Systems at Sovereign Bank, and has managed small business underwriting at BankBoston and BayBank. Prior to that he was a middle market lender at Barclays Bank PLC's Boston office. Karl has a master's degree in business administration from Boston College and an undergraduate degree in Finance from Northeastern University.
Antonina Durfee is a Senior Risk Manager of Advanced Analytics at Citizens Bank, RBS NA. She is a research fellow at Abo Academi University, Finland. Her professional and research interests are modeling operational risk and machine learning. She holds a PhD in Economics and Information Systems from Abo Akademi University, Finland. She was an Assistant Professor at ASU and wrote a number of articles on data mining prior to her move into risk management.
Ken Swenson is a Senior Vice President at TD Bank where he serves as the Head of Capital Programs for Operational Risk Management. He leads a team of professionals charged with the development of the bank's Basel II AMA framework, as well as interaction with the Head Office in Toronto, Canada and bank regulators. Ken brings extensive operational risk management and Basel II AMA experience to TD Bank.
He joined TD from the Federal Reserve Bank of Chicago, where he served as a Risk Management Specialist relating to OpRisk management. In this context, Ken led and supported examination teams of operational risk at large banks. Ken has a broad background in OpRisk management and internal controls, having also worked for a "Big Four" consulting firm as an OpRisk thought leader in addition to a niche advisory firm specializing in operational risk quantification methods.
Ken is a graduate of the University of Iowa with a degree in Economics, and earned an MS in Financial Markets & Trading from the Illinois Institute of Technology in . Ken is an active participant in the OpRisk community, a prolific speaker at industry forums, and frequent author on the subject of operational risk.
