ABA Roundtable

ABA roundtable at oprisk north america

Roundtable - How the ‘Structured Scenario Analysis Benchmark Reporting Portal’ is bridging the gap in quantification methodologies

Thursday, October 22 | 11:00am EST

American Bankers Association and MSTAR have teamed up to build the Structured Scenario Analysis Benchmark Reporting Portal, which was launched to address the deficiencies in quantification methodologies, especially for cyber risk.

The portal is an alternative, forward-looking method for measuring operational risk that incorporates expert input in quantification, produces a full distribution of future loss projections to better manage and mitigate loss exposures, and is based on the XOI (eXposure, Occurrence, Impact) approach of risk scenarios, designed by MSTAR. 

The project’s goal is to facilitate peer networking and benchmarking.  Pooled knowledge and an open forum for members to work through scenario development that will benefit individual banks, as well as the industry.
 

Patrick Naim

Chief execuitive officer

MSTAR

Patrick Naim is the founder and CEO of MSTAR, a consulting firm specializing in the modeling and quantification of operational risks.

MSTAR advises banks, insurance and energy companies for over 20 years in North America, Continental Europe, and the United Kingdom.

Patrick is a frequent speaker on operational risk management, such as Oprisk USA, Europe and Asia. He is also the author of “Risk Quantification: Management, Diagnosis and Hedging” (Wiley, 2006), “Bayesian Networks: a Practical Guide to Applications” (Wiley, 2008), and “Operational Risk Modeling in Financial Services: The Exposure, Occurrence, Impact Method” (Wiley, 2019).

He graduated from Ecole Centrale de Paris (M.Sc.) in economics and applied mathematics, and is an Associate in Risk Management (ARM).

Nedim Baruh

Managing Director, Operational Risk Capital and Analytics

JPMorgan Chase & Company

Nedim Baruh leads the Operational Risk Capital and Analytics function at JPMorgan Chase & Company (JPMC) and is responsible for the operational risk capital and stress testing processes.

Most recently, Nedim has been leading JPMC’s effort to enhance its Scenario Analysis program by developing factor-based models to assess its material risks. This project’s objective is to develop an alternative, forward-looking approach to measuring operational risk. This work will help JPMC bridge the gap between operational risk measurement and management.

More specifically, Nedim has worked on projects related to:

  • developing an objective severity model selection process
  • enhancing the operational risk stress testing processes (CCAR, ICAAP)
  • redesigning and implementing an enhanced scenario analysis program
  • developing alternative approaches to LDA for measuring operational risk

Prior to joining JPMC, Nedim was part of the Algorithmics Operational Risk advisory function and one of the principal architects of the Algorithmics OpVar software solution. At Algorithmic, Nedim led many client engagements in the operational risk space.

Nedim has a B.S. in economics from the University of Pennsylvania.

Afifa Klouj

Senior analyst, quantitative research

American Bankers Association

Afifa Klouj is a Senior Analyst of Quantitative Research in the ABA Benchmarking & Survey Research department (BSR). In this capacity, Afifa manages the data collection, analytics, and reporting for various operational risk groups, including ABA’s Operational Risk Data Sharing Consortium, and the coordination of the ABA/Mstar Structured Scenario Analysis Portal.  She also leads other BSR department projects and industry surveys, including the Economic Impact of America's Banks project.

Prior to joining ABA, Afifa was a Senior Research Associate at the Biostatistics Unit in the George Washington University Medical Center.

Afifa received an MBA in Finance and a Master Plus in Survey Design and Analysis from The George Washington University and a B.S. in Business and Economics from Institut Des Hautes Etudes Commerciales, in Carthage, Tunisia.

About the American Bankers Association

The American Bankers Association is the voice of the nation’s $21.1 trillion banking industry, which is composed of small, regional and large banks that together employ more than 2 million people, safeguard $17 trillion in deposits and extend nearly $11 trillion in loans.

 

About MSTAR
MSTAR is the US branch of ELSEWARE, specializing in risk scenario modeling for the financial and industrial sectors.
MSTAR is especially active in designing structured scenarios for operational risk and climate stress-testing.