Leading Edge Issues in Operational Risk Measurement - Federal Reserve Bank of New York


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Conference

Leading Edge Issues in Operational Risk Measurement

May 29 & 30, 2003

Session Description
The purpose of the conference was to broaden and deepen the understanding within the banking and regulatory communities of leading edge practices in operational risk assessment. In particular, the conference highlighted practices surrounding the four key elements identified as part of the Advanced Measurement Approaches -- internal data, relevant external data, scenario analysis, and business environment and internal control factors -- and the flexible ways these elements can be combined to produce a robust operational risk assessment framework. To this end, the Risk Management Group invited institutions that have had practical experience implementing such frameworks to give presentations on key aspects of the approaches they are pioneering and the lessons they have learned during the process.

Basel Committee on Banking Supervision Risk Management Group

Conference on

Leading Edge Issues in Operational Risk Measurement


Agenda

Thursday, May 29, 2003

8:00 - 9:00 am	Breakfast/Registration
9:00 - 9:15 am	Conference Opening and Welcome
9:15 - 9:30 am	Conference Objectives
	Roger Cole, Board of Governors of the Federal Reserve System and Chairman, Risk Management Group of the Basle Committee on Banking Supervision 26 kb
Measurement Approaches

9:30 - 10:30 am	Loss Distribution Approach
	Presentation work of the LDA Group MS Powerpoint 460 kb LDA Group Paper Anthony Peccia, Bank of Montreal, 380 kb
10:30 - 11:00 am	Break
11:00 - 12:00 pm	Risk Drivers and Controls Approaches (RDCA)
	Presentation on work of Risk Drivers and Controls Group Mark Lawrence, ANZ, 327 kb
12:00 - 1:30 pm	Lunch
1:30 - 2:30 pm	Scenario-based Approach
	Presentation of work of Scenario Group 885 kb Scenario group paper Ulrich Anders, Dresdner Bank, 288 kb
2:30 - 3:30 pm	Convergence Across LDA, Scorecard, and Scenario Approaches
	Panel Discussion and Q&A Ulrich Anders, Dredsner Bank Mark Lawrence, ANZ Anthony Peccia, Bank of Montreal
3:30 - 4:00 pm	Break
	Current Practice and Emerging Issues at Banks
4:00 - 5:00 pm	Implementing a Comprehensive LDA Approach
	John Walter, Bank of America 414 kb

5:30 pm	Cocktail Reception
	Officers' Dining Room - 10th Floor

Friday, May 30, 2003

8:00 - 9:00 am	Breakfast
9:00 - 10:00 am	Internal Loss Data Collection in a Global Banking Organization
	Kevin Moffitt, ABN AMRO 1.06 MB
10:00 - 10:30 am	Break
10:30 - 12:00 pm	Integrating External Data into the OR Measurement Approach
	Lars Hansen, Skandinaviska Enskilda Banken AB 228 kb Guilio Mignola, San Paolo IMI 410kb Kenji Nishiguchi, Sumitomo Mitsui Financial Group 268 kb
12:00 - 1:00 pm	Lunch
1:00 - 2:00 pm	Leveraging Scenario Analysis in an Overall Framework for Operational Risk Management
	Joseph Sabatini, JP Morgan Chase 232 kb
2:00 - 3:30 pm	Practical Experience Using Scorecards, Self-Assessments, and Other Techniques to Allocate Capital and get Business Line Buy-in
	Panel Discussion and Q&A Mark Lawrence, ANZ MS Powerpoint - 305 kb Jay Newberry, Citigroup MS Powerpoint - 171 kb
3:30 - 4:00 pm	Break
4:00 - 5:00 pm	Combining Internal Loss Data, Scorecards, and Scenario Analysis
	Kenji Fujii, UFJ Holdings 749 kb

More Information
For more information, please contact Stefan Walter at (212) 720-5487 or Beverly Hirtle at (212) 720-7544