Foundation ERM Session 6: Operational Risk

This presentation is based on a part of an academic course on Enterprise Risk Management (ERM) titled ‘Operational Risk’ and covers topics such as: case studies, a game-theoretic approach to considering operational risk and statistical modelling of operational risk

1Session 6: Operational Risk
2Session 6: Operational Risk
3What is Operational Risk?
4Basel Committee’s view
6Asset managers
7Agency problems, monitoring and control
8More controls or more control?
9Benchmarking processes and losses versus others
10E.g. Basel Committee Surveys
11Survey suggests
12Lumpiness of losses
13Session 6: Operational Risk
14Case Studies (1)
15Case Studies (2)
16Case Studies (3)
17Session 6: Operational Risk
18An illustrative game theoretic model of fraud
19Agent’s actions
20Diagrammatic exposition of strategies
22Characteristics of intermittent fraud equilibrium
23Session 6: Operational Risk
24Statistical modelling of operational risk
25Hazard rates
26Simple example of a hazard rate
27Hazard rates that vary through time
28Simulating independent failure times
29Incorporating dependence in failure times
30Fitting loss distributions
31E.g. Gamma distribution
32An example application (1)
33An example application (2)
34An example application (3)
35Important Information

Contents | Next | ERM Lecture Series

Desktop view | Switch to Mobile