Operational Risk Management Modeling
RSK4801
DEPARTMENT OF FINANCE, RISK MANAGEMENT AND BANKING
OPERATIONAL RISK MANAGEMENT RSK4801
Topic 3: Operational Risk Management Modelling
UNISA
PO BOX 393, UNISA, 0003
Copyright © UNISA 2011
In terms of the Copyright Act 98 of 1978 no part of this material may be reproduced be stored in a retrieval system, be transmitted or used in any form or be published, redistributed or screened by any means (electronic, mechanical, photocopying, recording or otherwise) without the prior written permission of UNISA. However, permission to use in these ways any material in this work that is derived from other sources must be obtained from the original sources.
Printed in South Africa by UNISA
RSK4801/1/2012 - 2015
98363573
TOPIC 3: OPERATIONAL RISK MANAGEMENT MODELLING AIM The aim of this topic is to provide students with an overview of operational risk modelling as part of the process to quantify operational risk, but does not cover the mathematically development of models and provide students with an overview of the stress tests and scenario analysis.
LEARNING OUTCOMES At the end of this topic, the student will be able to: motivate the need for regulatory capital and discuss the different approaches used in the banking industry to calculate regulatory operational risk capital; analyse and discuss the limitations and problems experienced with the calculation of operational risk capital and discuss the benefits of capital modelling; differentiate between stress tests and scenarios; discuss the principles for the governance of stress tests and scenarios; and apply stress tests and scenarios to operational risk data and develop practical scenarios.
TOPIC CONTENT Study Unit 8: Modelling Study Unit 9: Stress tests and scenarios
OVERVIEW The quantification of operational risk forms an important component of the operational risk management framework, although the modelling of operational risk is challenged by the broad nature of
DEPARTMENT OF FINANCE, RISK MANAGEMENT AND BANKING
OPERATIONAL RISK MANAGEMENT RSK4801
Topic 3: Operational Risk Management Modelling
UNISA
PO BOX 393, UNISA, 0003
Copyright © UNISA 2011
In terms of the Copyright Act 98 of 1978 no part of this material may be reproduced be stored in a retrieval system, be transmitted or used in any form or be published, redistributed or screened by any means (electronic, mechanical, photocopying, recording or otherwise) without the prior written permission of UNISA. However, permission to use in these ways any material in this work that is derived from other sources must be obtained from the original sources.
Printed in South Africa by UNISA
RSK4801/1/2012 - 2015
98363573
TOPIC 3: OPERATIONAL RISK MANAGEMENT MODELLING AIM The aim of this topic is to provide students with an overview of operational risk modelling as part of the process to quantify operational risk, but does not cover the mathematically development of models and provide students with an overview of the stress tests and scenario analysis.
LEARNING OUTCOMES At the end of this topic, the student will be able to: motivate the need for regulatory capital and discuss the different approaches used in the banking industry to calculate regulatory operational risk capital; analyse and discuss the limitations and problems experienced with the calculation of operational risk capital and discuss the benefits of capital modelling; differentiate between stress tests and scenarios; discuss the principles for the governance of stress tests and scenarios; and apply stress tests and scenarios to operational risk data and develop practical scenarios.
TOPIC CONTENT Study Unit 8: Modelling Study Unit 9: Stress tests and scenarios
OVERVIEW The quantification of operational risk forms an important component of the operational risk management framework, although the modelling of operational risk is challenged by the broad nature of