• The Importance of Risk Quantification
  • Value to Directors and Management
  • Function in the Risk Management Framework

• Regulatory Requirements for Risk Assessment
  • Assessment in Regulation of Banking, Insurance and other Financial Sectors

• The Risk Management Framework
  • Importance to Risk Strategy and Risk Management Priorities
  • Importance to Risk Reporting

• Risk Identification*
  • Compiling a Risk Register with Example
  • Understanding Risks and Loss Events
    • How Risks can impact on a Firm
    • Quantifying Impact and Definition of Loss
  • Classification of Risks
    • Why the Classification is important – effect on analysis
  • Root Cause Analysis

• Control Effectiveness*
  • Measuring Control Performance
    • Use in Quantitative Risk Assessment
    • Worked Example
  • Risk and Control Interrelationships – Case Study
  • Process Mapping – Worked Example

• Risk Assessment *
  • Loss Data Base
    • Loss Event Data to enable analyses and Action Plans
    • Use of Indices for Risks, Controls, Events
  • Loss Event Collection
    • Importance of Consistency of Recording
  • Other Loss Data Sources
    • Blending Loss Data from different sources for Risk Assessment
  • Use of Inherent and Residual Exposure
  • Risk Modelling – Quantitative
    • Uses and Purposes of Modelling
    • Moments in Probability Distributions
    • Using Continuous and Discrete Data
  • Loss Distribution Assessment – Frequency and Severity
    • Quantifying Risks through Frequency and Severity models
    • Curve Fitting
    • Handling Data Breaks and Inconsistencies
  • Probability Distributions in use
    • Relationship of the Nature of the Risk with the Chosen Distribution
    • Ease of Use of Different Distributions
    • Use of Bayesian methods
  • Risk Estimation – Qualitative

• The Risk and Control Assessment Process*
  • Building an Assessment Team
  • Facilitation Techniques for Risk and Control Assessments
  • Role of the Risk Manager

• Major Exposures – Scenario Analysis and /Stress Testing*
  • The Tendency to Underestimate the Threat of Severe Events
  • Estimating extreme risks
    • Application of Stochastic Models
    • Alternative approaches
    • Impact Estimation of Potential Extreme Events
  • Planning Stress Testing, Scenario Analysis

• Risk Aggregation
  • Combining Loss Distributions
    • Mathematical Methods
    • Simulations
  • Handling Interrelationships between Risks
    • Bayesian Methods
    • Decision Science techniques
    • Correlations – challenges in estimation
    • Validating Correlations
  • Useful Software
  • Combining Qualitative Risk Assessments

• Linkage to Other Activities in the Risk Management Framework*
  • Risk Monitoring – KRIs
  • Reporting to Management
  • Risk Strategy and Appetite – Worked Example
  • Capital Adequacy

* All Topics will be illustrated with real examples. In addition * marks topics that will be supported by Case Studies, Examples, and Practical Exercises.

• Schedule of the Seminar
  • 08.30 – 09.00: Registration
  • 09.00 – 10.30: Session 1
  • 10.30 – 11.00: Coffee Break
  • 11.00 – 12.30: Session 2
  • 12.30 – 14.00: Lunch & Prayer Break
  • 14.00 – 15.30: Session 3
  • 15.30 – 16.00: Coffee Break
  • 16.00 – 17.30: Session 4