The recent introduction of Solvency II has increased the importance of operational risk assessment and modelling for insurers. Banks already have to allow for operational risk in Pillar I capital under Basel II, but PPI misselling, fines for fixing LIBOR and other large losses have highlighted the need for banks to properly model and understand their operational risk exposures. Meanwhile operational risk poses an existential threat to asset managers.
A key challenge in modelling operational risk is data which is often sparse and/or irrelevant. This paper assesses the types of data available to model operational risk and the limitations of each source. Having regard to regulatory requirements, it puts forward good practice for the collection and use of loss data, scenario analysis and other data in operational risk modelling, as well as for setting correlation assumptions and other inputs to operational risk models.
This talk is aimed at all those with an interest in operational risk across financial services and beyond. It does not require specific technical knowledge.
The sessional research paper is now available to download for those registered to attend. The paper will be made public after the event via the Archive section of the website.
Event organiser
Contact Events Team for more information.
eventmanagement@actuaries.org.uk
0207 632 1498
CPD
CPDRegistration will take place from 17.00 – 17.30
The programme will take place from 17.30 – 19.00
Location
Address
Staple Inn Hall
High Holborn
London WC1V 7QJ
Nearest Public Transport
Chancery Lane Tube station