操作风险管理框架的实施.pptVIP

.01 Operational Risk Operational Risk Implementation of an Operational Risk FrameworkBasel Committee’s Risk Management Group Conference on Leading Edge Issues in Operational Risk Measurement?May 30, 2003?Jay Newberryjay.newberry@ Citigroup has developed and implemented a corporate Operational Risk Policy Establishes consistent definitions, minimum standards and clear roles and responsibilities Includes standards for Risk and Control Self-Assessment (RCSA) Each business, globally, is required to: Adopt the Citigroup policy and develop and release business-specific policies and procedures as needed Establish a governance structure for operational risk Three Core Principles Embedded in the Policy Citigroup’s definition of Operational Risk includes reputation and franchise risk associated with business practices or market conduct Note: Reported operational risk losses exclude opportunity costs Implementation Actions Required in Each Business Technology Platform Approach to Economic CapitalDesired End State: Adjusted LDA Simulate an aggregate potential loss distribution for operational risk Drivers of the simulation model include: Probability distribution [Frequency] Potential loss distribution given an event [Severity] Economic Capital requirement calculated as the potential unexpected loss at the target confidence level and time horizon Split by business line and (if possible) by risk category Adjust for quality Calculate a correlated sum across business lines and risk types Full implementation depends on a robust data set, the collection of which is well underway Some business lines may require a different model framework Economic CapitalAdjustments to Baseline Capital Quality Adjustment Factor (QAF) produces changes that are under the control of the business and a function of the following internal audit information: Risk Level Number of Business Issues Severity of Business Issues Number of days resolution is past due Control Quality Indi