Operational Risk Analysis

The New Basel Capital Accord (Basel II) identifies operational risk as a key area of regulatory supervision and establishes the principle of developing a minimum regulatory capital charge for operational risk. Basel II allows a significant reduction of the standard capital charges given that a bank uses the “Advanced Measurement Approaches”. An application of these approaches, however, requires a sound operational risk analysis system.

This recognition has led IRIS to complement its unified riskpro™ financial risk analysis offering with the Operational Risk solution from RCS.

Loss Tracking

• Entry and classification of events
• Confirmation workflows
• Display whole history log of event or effect
• Export CSV format for further analysis
• Entry of currency rate with defined validity ranges

Self Assessment

• Definition and maintenance of question libraries
• Classification of questions in question categories
• Assignment of questions to OpRisk event types
• Sending questionnaires to assessors
• Display of the whole history log of a questionnaire

Key Risk Indicators

• Definition of indicators
• Calculation of moving averages for indicators
• Simulation and testing of aggregation logics
• Workflow or the activation of aggregation logics
• Automatic data entry using XML standard

Quantification and Capital Calculation

• Graphical analysis of the loss severity (QQ-Plot, ME-PLOT)
• Frequency estimation
• Monte Carlo Simulation of the total loss distribution
• Calculation of Value-at-Risk, economic capital and expected shortfall
• Loss frequency conditional on ratings from the modules KRI or SAM
• Sensitivity analysis

Action Tracking Module

• Status track of tasks under action plan by action plan manager
• Capture/save/update of action plan by action plan manager
• Display the whole history log of an action plan and its tasks
• Reporting of action plan status in status report
• Assign tasks under action plan to other users (task managers)
• Automatic activity recommendation in case of certain events

This approach offers all system modules the ability to achieve the sharing of relevant functions in:

• Products
• Organizational structure
• Processes
• User administration
• Audit Trail
• Currency rates
• Internal and regulatory classifications

Offered Services

IRIS and RCS joined forces to offer a flexible, integrated and comprehensive solution for all aspects of Operational Risk analysis. The riskpro™ OpRisk Suite is available as stand alone operational risk solution or as operational risk analysis enhancement of riskpro™’s financial analysis offering.