The introduction of the Basel II capital accord enhanced the need for rigorous capital modeling for operational risk. The Basel II accord offers several methods for capital calculation. The Advanced Measurement Approach (AMA) promotes the methodology that most closely matches the operational risk process, and can offer significant capital savings for banks.
The quantitative modeling required by AMA, although flexible, requires a set of statistical techniques as well as information, which can be in the form of loss data or scenarios analysis. This seminar provides participants with an understanding of the tools and methodologies involved in operational risk capital modeling. The course will outline quantitative methods based on loss data, as well as methods based on scenario analysis. In the second part of the course, we will discuss more advanced topics, such as modeling dependency among various lines of businesses and loss types, as well as modeling the dependency between operational and other types of risks (for example credit risk). Another interesting topic to be discussed in the course is the extreme value theory and its application to operational risk capital modeling.
Length: 113 minutes
Who will benefit?
This web seminar is designed for people working in financial institutions in operational risk management, credit risk management, risk management, corporate governance, regulations, and operations.
- Gain an understanding and appreciation of the Advanced Measurement Approach.
- Learn the statistical methods used for loss data analysis and scenario analysis.
- Understand modeling dependency in operational risk.
- Learn about the application of extreme value theory to operational risk modeling.
Our Web seminars provide the following benefits:
- Cost-efficient and convenient — There’s no travel time, travel expenses, or time out of the office.
- Available 24/7 to suit your schedule
- Risk-free — You can go back and listen as often as you like within 30 days from the date of your first log-in.
- Safe and secure — Only those enrolled with the user ID and password can access the course.
- All you need is an Internet connection.
- Abobe Flash version 9 or higher.
- Recommeded screen size, 1024 x 768 pixels..
- Internet connection (high-speed broadband connection recommended).
- Speakers or a headset.
- Port 80 must be open both incoming and outgoing.
RMA-CRC: 1 CEU