講義課件講稿drisk demo-operational risk

1、Preliminary Assessment Product OverviewAugust, 2006Moving from version 1 to version 2DRisk Version IIOPERATIONAL RISK QUANTIFICATION SERVICEThe focus of this presentationItems addressed in this presentation1 Brief Company Introduction2 Company strategic plan and vision in regards to operational risk

2、3 Product Profile on Operational Risk Product Functionality ArchitectureScalabilityUpgrades & VersionsScorecard AssessmentKRIControl PerspectiveLoss IncidentsEvent ClassificationRiskProcessProductLine of BusinessBUSINESS UNIT MAPPINGLinkageReporting CapabilityInteractive DashboardRisk Event Analysis

3、Validation & ControlAudit Trail+ Near Miss+ RecoveryBrief Company IntroductionBrief introduction to AzilonClientsOur peoples backgroundsQuantifying ExposureManaging RiskI-flexICICI BankDeutsche SoftwareRabo BankTCSNessKPMGCommonwealth BankIDBI BankMalaysian PartnershipsAzilon is partnered with both

4、on the ground consulting and system integrators to ensure that the bank meets regulator standards while Azilons tools bring the latest operational risk reporting concepts to the group risk department.Operational Risk Auditing Systems Correction action management Loss Data & Near Miss with Automatic

5、External Data Option, Advanced Scenario Analysis, Dependency Exposure Management, along with integrated Key Risk Indicators and Controlled Self Assessment to show both a qualitative and quantitative risk register.AMLAntiMoney Laundering SolutionsFraudEnterprise Solutions for Fraud Prevention and Reg

6、ulatory ComplianceFinancial Management FlexFinance Basel II Credit Risk, Operational Risk FlexFinance IFRS with Fernbach (IAS32 / IAS39 / Hedge Accounting)Operational RiskDRisK is a full suite of operational risk tools that allows the bank to reach AMA compliance. It is an entirely web based integra

7、ted solution that will operate on any client and is able create a parametric view of risk that is statistically justified through internal related assumptions.ING IndiaHDFC Bank InvestmentUTI BankDresdner BankWells FargoLB Swiss (Private)Company Strategic Plan for Operational RiskThere are several m

8、aturity phases for a software productExternal DataIndicator NetworkControl Self AssessmentScenario AnalysisBusiness Unit ReportsInternal DataMappingLEVEL 1 The ElementsStrengthen InteractionInterconnectionsLEVEL 2 InterfacesLEVEL 3 CapitalCapitalLEVEL 4 RAROCCase ModelingCorrective Action FactoringS

9、trategic PlannerERM IntegratorData PoolingCapital PlannerbenchmarkMaturity Normally follows this routeCurrent VersionRelease VersionFuture VisionWill support fullLDARDCAsbAMAWill supportDiversified& CorrelatedBeing prepared to offer completeAMA solutionExternal BenchmarkThe Upgrade PlanScalability i

10、s part of the programStaying up to dateNew Versions are at your fingertipsAzilon is about to release the second version of the successful DRisk product and users of earlier versions are able to upgrade at a competitive rate. Each version is backwardly compatible and no data migration is required by

11、the bank.Whats hotOver the coming 24 months, two additional versions are planned and will provide banks with the most sophisticated of risk analytical services yet, making DRisk one of the most straight forward products to use. Capital Engine enhancements will allow different techniques for the capi

12、tal calculation to be achieved. All three industry standards will be available. Capital planner and case modeler functionality will furnish risk managers and CFOs with the ability to strategically plan risk mitigation programs against other revenue generation mechanisms. This shows an opportunity /

13、cost view of capital which can be sliced and diced between business functions in the context of other important accounting criteria.Support and MaintenanceOur commitment to the banking sectorAzilon es the input of our customers so that continual enhancements ensure that the product is the richest in

14、 features.Bespoke DesignsAny part of the product can be customized by the bank, additions are also e.Fast Turn AroundAll change requests are answered within 2 working days.Centralized Performance MatrixExternal Data with privacy OPTIONAL MODULEExternal data presents one of the most difficult areas o

15、f the accord to satisfy. Presently many banks struggle to scale external data and to mix external data with internal data because of weak significance factoring. Interestingly all banks will have to disclose specific loss information to the regulator in Pillar II however at present many external and

16、 global loss databases are simply not applicable to regional banks.To resolve this problem an additional module (the CPM) is available upon request (for no additional cost to holders of a DRisk system) that will allow banks to share data with a central repository. All internal banking details are ke

17、pt confidential and only specific statistical information is transmitted to the central server. In short, curve shape metrics are important for all peer banks so that they can back-test specific model factors and it is these metrics that are broadcasted but which are only useable in risk systems.For

18、ward thinking scenario analysis OPTIONAL MODULEAlong with the pooling of external data, the CPM is also able to share scenario information. This industry first allows specific management to gain insight on potential events that are discovered by the industry as a whole and practitioners or regulator

19、s that work with Azilon. These industry based scenarios can be rejected or taken up and introduced into the banks capital. Assessments are made internally against internal factors and will improve the completeness of the banks internal modeling system.Some End GoalsThe end goal for an operational ri

20、sk quantification systemThe end goal for the capital model is to be able to parametrically create a probability loss distribution function for each risk category, line of business and product of the bank. This probability loss distribution function is representative of total exposure for the bank an

21、d is made up of two parts, an expected loss component and unexpected loss component often referred to as the tail.LossSolventInsolventExpected LossUnexpected Loss The expected loss component or the body of the curve comprises of mostly internal loss data points. The unexpected loss component of the

22、probability distribution function is made up of events that may not have happened but still have a propensity of existence and thus are usually described by scenario cases. To base the tail of the curve on scenarios is a process that has been dubbed sbAMA by the industry, is supported by Azilon and

23、is seen as part of industry best practice.The DRisk system is able to define this curve using both diversified or non-diversified capital regimes. Calculation engines to be supported includeLDA Loss Data ApproachRDCARisk Driver and Control Assessment ApproachsbAMAScenario Based ApproachWhichever app

24、roach is used, all components (loss data, indicators, scenarios and control assessments) are utilized however the emphasis on the calculation will alter accordingly.After selecting an approach the economic capital is calculated in a transparent manner across all business units.Other Important GoalsD

25、escribing exposure to business units in a useable mannerParametric views of risk that show quartile positions at 95% or 99% are suitable for the regulator however they dont translate well to agendas that assist the business unit combat its potential events.The DRisk program has an additional reporti

26、ng set that will ensure that the business units are able to understand the causes and driving factors for their exposures.METHODOLOGIESPRODUCT OVERVIEWMappingUnderstanding which business units have exposure & how capital should be assigned to them requires mapping.External DataIndicator NetworkContr

27、ol Self AssessmentScenario AnalysisBusiness Unit ReportsInternal DataMappingCAPTIAL ENGINEFraudDisruptionSecurityBreachesOHS &PracticesAssetDamageDeliveryFailureClientsProductsMalpracticeDRisk Advanced and easy to use mapping serviceAll modules (Internal Data, External Data, Indicator Networks, Cont

28、rol Assessments, Scenario Analysis) furnish specific pieces of information that have to be combined to show a risk profile of the organization. The ability to tie each data feed to a line of business, business function, product and risk category is an inaugural contextual step that enforces transpar

29、ency, policy and assists in bank wide management of data collection and exposure. Capital is traditionally assigned to business unit boundaries, that is each business unit has a budget of expense and responsibility for exposure.In many cases the value of loss is inherently tied to the product and DR

30、isk is able to track product movements throughout the bank.Systems present a level of dependency to the risk framework and their touch points on business units are tracked in the database.Being able to describe the relationship of processes on products assists in outlining the effects of failure on

31、products.Risks have birth, life and expectancy, are managed by specific business units and controlled by others. DRisk is able to capture this important network information.Enabling PolicySetting up the capital conduits and the taxonomy for riskExternal DataIndicator NetworkControl Self AssessmentSc

32、enario AnalysisBusiness Unit ReportsInternal DataMappingCAPTIAL ENGINERegistering a potential exposureRegistering a potential exposureEasy to use top level mapping of business unitsThe DRisk system is able to map business units both by function and geographical location. This assists in defining any

33、 concentration exposures that might exist from catastrophic events. Business units are also able to consider their exposures and register their risks to assist in alignment of loss data and control self assessments in later parts of the program.The taxonomy is an important step in reducing the poten

34、tial side effects from Capital Arbitrage because it assists staff in understanding how, when and where loss data or near misses should be applied.MappingDRisk tracks exposure in many different business conduitsExternal DataIndicator NetworkControl Self AssessmentScenario AnalysisBusiness Unit Report

35、sInternal DataMappingCAPTIAL ENGINECapturing Information about the processCapturing Information about the productTaking the risk registration one step furtherIn addition to tracking potential exposures, business units are able to register their products and processes. In many instances the value of

36、exposure is actually tied to the product and the volume of such items processed during an event.Being able to assign specific products to each business unit in turn will ensure that the full exposure of the value chain can be understood, particularly when they are interconnected to many risks.Captur

37、ing process level activities in each business unit will also assist in explaining the causal relationship to loss and encourages benchmarking of metrics at a later date.Loss Data DRisk has a feature rich & easy to use loss data system designed specifically to support Basel IIExternal DataIndicator N

38、etworkControl Self AssessmentScenario AnalysisBusiness Unit ReportsInternal DataMappingCAPTIAL ENGINE Loss Data is a non optional component of the accord and DRisk has an easy to use yet comprehensive loss reporting service that can be distributed bank wide. Losses can be linked to registered risks

39、or new risks, and the impact is assigned to a business unit so that capital can be dimensioned with the DRisk Capital Engine. Both summary information and the detailed loss characteristics are tracked so that DRisk is not simply a reporting system but a tool that will help staff manage their exposur

40、es as they happen. Many banks wish to have additional fields captured, such as general ledger account details for reconciliation with the banks ERP system. DRisk is fully supportive of these bespoke fields and is able to be integrated to the general ledger when it is deployed at the bank.Managing Lo

41、ss IncidentsThe ability to track loss incidents ensures they are managed and close correctly and staff learn from potential eventsExternal DataIndicator NetworkControl Self AssessmentScenario AnalysisBusiness Unit ReportsInternal DataMappingCAPTIAL ENGINETransparent Loss ProceduresThe DRisk system h

42、elps group risk manage loss events and is able to mirror existing bank workflow for Identifying, Assessing, Managing and Reviewing losses. The workflow is customizable when DRisk is installed and uses the banks email system to remind users when to take action on open events.Key Risk IndicatorsKRIs a

43、re forward looking risk measures that add to a foundational Loss Data ServiceExternal DataIndicator NetworkControl Self AssessmentScenario AnalysisBusiness Unit ReportsInternal DataMappingCAPTIAL ENGINEAligning Key Risk Indicators to business unit “functions” Key Risk Indicators are an important ris

44、k metric because unlike loss data they are a forward looking measure of potential exposure and allow business units to focus on resolving potential events before they occur.Key Risk Indicators in the DRisk program are linked to Controls, Risks and other variables of the system so that they can be co

45、rrelated for evidential information on capital. The DRisk tool is also able to accept a varied type of indicators that can be collected in many user defined periods (daily, weekly, monthly, bi-monthly and quarterly). Each Risk indicator is assigned to a specific business unit to ensure responsibilit

46、y for collection is enforced. Staff are reminded to collect specific indicators through emails that are sent from the central DRisk server.KRI DashboardKRI Dashboards are a sophisticated technique to monitor exposure as it happensExternal DataIndicator NetworkControl Self AssessmentScenario Analysis

47、Business Unit ReportsInternal DataMappingCAPTIAL ENGINE The DRisk System also supports Key Risk Indicator Dashboards that can be used to monitor specific business units that may be presenting potential threats to the risk management effectiveness over time. Dashboards have proven them- selves in the

48、 industry as being a valuable tool for showing exposure at a glance particularly with high risk business activities. The DRisk dashboard service not only outlines which Key Risk Indicators are performing poorly but is also able to show the underlying risks and functions that are contributing to the

49、risk performance. The Dashboard is not only sensitive to key risk indicators that are out of tolerance but the system also monitors other statistical factors to show where performing business units have “spikes” in their data. There is a set of metrics and rules similar to the SPC industry accepted

50、guide that allows the dashboard to be configured to sensitivity in alarms.CSA ManagementManaging CSA programs can be a daunting task however DRisk has a comprehensive workflow enging to assistExternal DataIndicator NetworkControl Self AssessmentScenario AnalysisBusiness Unit ReportsInternal DataMapp

51、ingCAPTIAL ENGINE DRisk has a special administrator screen that assists group risk keep track of business unit control questions and importantly their scores. Version Control of questions is able to be monitored overtime so that new and improved questions are able to maintain an ongoing risk profile

52、 of each business unit as it evolves. Listing overdue control assessments is a one step required to allow immediate action to be taken, with staff that are failing to submit pertinent data. Inserting additional contextual information against a questionnaire is important to ensure that assessments ar

53、e always measuring the correct risk factors they are designed to protect. DRisk can be pre-loaded with questions during installation where such items can be enabled or disabled by group risk as they see fit.Integrating CSA Results and IndicatorsIntegration of many metrics allows for a more accurate

54、measure of exposureExternal DataControl Self AssessmentScenario AnalysisBusiness Unit ReportsInternal DataMappingIndicator NetworkCAPTIAL ENGINEDetailed Subjective and Analytical View of CSA ResultsThe DRisk service is able to combine internal factors to the model to show residual exposure post cont

55、rol. This considers the overall effectiveness of the control and its current performance in the network of controls. Showing specific effects on each risk discipline in turn is a powerful qualitative view of risk and encourages business units to improve awareness to control efficiency. The Scenario

56、EngineDRisk has a mature scenario engine and workflow to allow modeling of exposure to occur using sbAMAExternal DataControl Self AssessmentScenario AnalysisBusiness Unit ReportsMappingIndicator NetworkInternal DataCAPTIAL ENGINEChapter V Paragraph 675 SCENARIO ANALYSISIn addition, scenario analysis

57、 should be used to assess the impact of deviations from the correlation assumptions embedded in the banks operational risk measurement framework, in particular, to evaluate potential losses arising from multiple simultaneous operational risk loss events. Over time, such assessments need to be valida

58、ted and re-assessed through comparison to actual loss experience to ensure their reasonableness.Scenario Management ScreenUser list of cause & impact ownersDriverIndicatorIndicatorControlControlEvent in 1 YrEvent in 5 YrEvent in 10 YrAssertionsAssertionsAssertionsConvergence of Users Ratings CAUSAL

59、ANALYSISIMPACT ANALYSISTime based position Scenarios DRisk is the only risk system that supports separated causal analysis and impact assessment. Where causal analysis is automatically tied to control factors and is able to capture either frequency based events or time / relationship position scenar

60、ios. Event in 1 YrEvent in 5 YrEvent in 10 YrMTTRMTBFImpactImpactImpactLowNrmMaxImpactImpactImpactLowNrmMaxMAGNITUDEFREQUENCYAssertionsAssertionsAssertionsAssertionsAssertionsAssertionsRiskRiskRiskRiskEvent CategoryProductControlIndicatorsThe relationship between the selected risk the product, proce