estrutura de cria%e7%e3o de cen%e1rios - david thompson

7/28/2019 Estrutura de Cria%E7%E3o de Cen%E1rios - David Thompson

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Industry Practices for Creating Scenarios

J . David Thompson

Chief Operational Risk OfficerOctober 23, 2012

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Why is cenario Analysis Important

Regulatory requirements

Risk Measurement purposes

>Model Input

>

Helpful in defining and managing emerging risks

>Our most important job

>Our most difficult job

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What is Scenario Analysis?

SCENARIO ANALYSIS is a systematic process of obtaining expert opinions from business

managers and risk management experts to derive reasoned assessments of the likelihood and

magn u e o paus e g -sever y opera ona osses . . ase na rue

Goals of Scenario Analysis

Identify and understand plausible high-severity operational loss events

Enhance measurement and calculation of operational risk capital

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Basel rules provide for the ability of a Bank to tailor the implementation of the rulesto fit its organizational culture and risk profile

Banks practices have evolved but have not converged in all areas

Steps in the process:

>Gathering and distributing data

>Preparing for the workshop

>Reviewing, editing and validating the results

>Using the results for model input or benchmarking

Keys to success

>Involvement of Senior Management

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>Good preparation including selecting the right scenarios


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Selecting ScenariosIndependent risk officers should develop several scenarios for consideration basedon:

>Internal loss data

>External loss data>Change in business structure or environment

>Internal risk assessments

>Key risk indicators

>Scenario libraries

Managers and Corporate Risk Officers. Scenarios are modified to achieveconsensus approval

o ca ons urng e wor s ops are encourage

After the workshops, modifications may be made based on quality reviews ortri er events

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Examples of Scenarios

Business Lines:

sse anagemen uc ary gu e ne vo a on even

Agency Services corporate action error event

Clearin Services counter art default(s)

Agency Services data loss event

Agency Services erroneous disbursement

Trading and Sales internal fraud event

Risk Types:

Dama e to Ph sical Assets due to a natural disaste

Business Disruption and System failure due to an external systems attack

Employment Practices legal action

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Pitfalls to Avoid in Selecting Scenarios

Lack of a defined process

Focus on internal history

Focus on historical scenarios which are easier to estimate and document

Silo approach could underestimate enterprise impact

Scenario descri tions are too s ecific and narrow

Stale scenarios

M o ia

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You Have Selected Good Scenarios When

Senior Business Managers are actively engaged

Scenarios are modified during the workshop

Several potential gaps are identified

Several scenarios have substantial potential impacts

Participants see value in the exercise

Examiners accept the process

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Scenario Analysis is Complimented by Enterprise Stress

TestingScenario Analysis (Basel Op Risk)

>Conducted at business unit or Basel risk type level

>Multiple scenarios analyzed concurrently and independently>Gaps identified, tracked and closed

> esuts are nput or enc mar e aga nst op r s capta mo e

Enter rise Stress Tests

>Conducted across the enterprise

>One well-defined event analyzed in-depth

>Playbook/contingency plan usually produced

>Enterprise impact compared to actual capital level

>Stress testevents are enerall more likel to occur than scenario events

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Selecting Enterprise-wide Stress Tests

Regulators select and define stress tests

Banks may conduct additional stress tests and require units throughout theenterprise to participate in analyzing the impact of a single stress event

impact

Stress test events are usually linked to a potential macro financial or political

Stress test events are generally more likely to occur than scenario events

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Examples of Stress Tests

Sudden, unexpected inflation/deflation shock

Sudden, unexpected interest rate shock

Terrorist event/facility loss

System loss due to internal/external attack

Political/economic/currency disruptions

Multiple creditor defaults in a short time period

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Scenario Analysis and Stress Tests Help ManageEmerging Risks

Emerging Risks:

> ewy eveopng or c angng

>Difficult to predict timing or impact

>Have otential for ma or im act/survival of the firm

Enterprise stress tests focus on the impact of a single event across the enterprise

Scenarios focus on the impact of multiple events at the LOB or risk type level

These exercises help management

>Think about and prepare for major events

>Develop the skill to plan for and deal with the unexpected

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Getting Maximum Value from Scenario Analysis and

Stress Testing

o ow-up on gaps en e n cenaro na ys s

Develo la books to deal with the stress test events

Update both based on trigger events or new information or developments

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Four Things to Remember

Upfront preparation is key to success, especially selecting

the right scenarios or stress tests

Senior Management sponsorship, engagement and leadership is critical

Its all about what you learn from the exercise, and what you do to prepare forthe event

Whatever is worth doing at all is worth doing well

(Philip Stanhope, 4th Earl of Chesterfield, 1746)

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estrutura de cria%e7%e3o de cen%e1rios - david thompson

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