This is an advanced event that will cover a lot of technical content. As a result, it will be ideal for individuals involved in developing, reviewing or defending operational risk capital models and those with an interest in this area.
Gain a detailed understanding on:
• Key components of quantitative models
• Pros, cons and best practice methodologies
• Challenges of running various modelling types
• Common regulatory issues and expectations
Access recent advances in:
• Model design architecture in practice
• Key elements of the model validation process
• Running an effective in-house model build
• Model component Implementation techniques
Hear how firms are enhancing:
• Tools for improving scenario workshops
• Full group capital model implementation
• Capital model outputs and interpretation
• Advanced modelling solutions
Click here to download the full Advanced Operational Risk Modelling course agenda.
This workshop considers all the critical input components including internal loss data, external loss data, scenarios and business environment and control factors.In two content rich days you will cover:
Gerald Chappell leads Ernst & Young’s UK's Quantitative Advisory Services team, providing risk modelling and valuation services in the areas of credit, market and operational risk. Over the last three years Gerald has worked extensively with banks, asset managers and insurers on the development and validation of their operational risk capital models and scenario assessment processes.
Mark London has deep expertise in capital modelling - nine years of practical experience with the last five of those involving Basel II AMA, Solvency II internal models and the development of robust and defensible scenario assessment and stress testing processes. Recently, Mark has worked on several AMA related projects including independent model validations for two US banks.
Ahraz Sheikh has fourteen years’ experience in quantitative analysis with specialisation in operational risk capital modelling, integrated economic capital and firm-wide stress testing. He has helped develop AMA models for Basel 2, contributed to regulatory and industry working groups and presented at operational risk conferences.
Liam Mackenzie has a strong operational risk modelling background and has worked on several AMA related projects including implementation and independent model validations for global banks. In addition, Liam has also supported a number of clients with their operational risk scenario workshops for ICAAP submissions. Recently, Liam has worked on providing significant additional modelling functionality to Ernst & Young’s STORM platform – an operational risk modelling tool which has been successfully used by clients in asset management, insurance and banking.
"Informative workshop in a relaxed atmosphere delivered by a knowledgeable practitioner."
"This is a thought provoking course, which anyone who works in an operational risk environment would definitely benefit from."