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About Operational Risk Modeling
Operational risk modeling helps in measuring, monitoring and mitigating the risk of direct or indirect loss caused from inadequate or failed internal processes or from external events. With the growing sophistication of financial institutions, mitigating operational risk has become a prime concern for institutions as well as regulatory bodies. To mitigate operational risk, a comprehensive approach is required that asks for a strong fundamental knowledge of statistics and current regulatory literature, both of which is covered in the course.
Why Operational Risk Modeling?
- Provides a solid understanding of statistical concepts required for Risk Management jobs
- Provides a competitive edge in the fastest growing field of Risk Management
- It is a prerequisite for Operational Risk jobs in the Risk Management field
- Gives you excellent skills that help you advance your career in the Operational Risk field
- Covers concepts such as Distribution Fitting (MLE, MME etc.)
- It includes a detailed analysis of capital implications of Modeling decisions
- It has a comprehensive coverage of operational risk of Basel-II implementation
Target Audience
- This program is suitable for people in Risk Management, particularly those who focus on operational and credit risk models for their organizations
Pre-Requisites
- Should be comfortable with Microsoft Excel
- The participant should also be familiar and have working knowledge of operational risk concepts
Topics
- Introduction to operational risk modeling
- Basic concepts related to probability distributions
- Modeling number of losses using Excel: Frequency distributions
- Modeling size of losses using Excel: Severity distributions
- Fitting distributions to data: Parameter estimation
- Examining goodness of fit
- Aggregate loss modeling
- Aggregating VaR estimates across Business Lines and Event types
- Precautions while using EVT/GPD to avoid overestimation of capital reqt
- How confident are you about parameter estimates?
- Using External data in OpVaR estimation
- Combining capital estimates based on internal data, external data and scenario analysis
- Operational risk modeling software
- Introduction to R: an open-source operational risk modeling software
Pedagogy
- Duration
- 20 Hrs of Operational Risk training
- Hands-on Case Study (Real Life) based learning
- Participants create models from scratch
- Step by Step Instruction on Creating the model
- Practicing Faculty (with significant experience in Operational risk) hand holds the participants
Materials
- 20 hours of Operational Risk Modeling Training
Each of the 14 topics in this program come with several videos discussing the process of operational risk assessment in excel. There is a total of 20 hours of videos planned. All these lessons are neatly structured in to a lesson plan with links to view, download and discuss. You can follow the lesson plan. - Example workbooks – both Empty & completed ones
At each step, we will provide you an example workbook so that you can immediately apply the knowledge gained in the class. You can verify your solution against ours using instructor version of same workbook. This will make your modeling skills rock-solid. - 6 month Access to Online Classroom
Online classroom is a blog-like area with secure userid and password for students. This is where you can ask questions related to lesson topics, discuss the lesson content or share your tips / ideas with other students. You can access the classroom for 6 months from your date of joining. - Sample Videos
Loss Distribution Approach
Quantile Function (Inverse CDF)
Why Pristine?
- Edupristine is a leader in Investment banking, Risk management and Financial modeling training having trained 10,000+ participants from 40+ countries.
- Serves a list of reputed corporate clients such as JP Morgan, Bank of America, Accenture, Mizuho Bank, E&Y and B-schools such as IIM C, IIM I, NUS Singapore, ISB Hyd, FMS etc.
- Edupristine is also a leader in Finance International Certification trainings such as CFA (registered with CFA Institute, USA), FRM (Registered with GARP, USA) and PRM (Registered with PRMIA, UK)
- Edupristine Prides itself to provide "Value for Money Training courses" that respect the time commitment of professionals
FAQs
Q. What is the duration of the course?
A. 20 hours of asynchronous recordings that you can listen to at your ownpace.
Q. Who would be the faculty?
A. Faculty would be an expert market professional working in the field of risk management for more than 10 years.
Q. Where can I get doubt clarifications?
A. We have an active forum, where you can raise your doubts and our expert faculty would be happy to share our knowledge.
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Testimonials
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| Anuj, Risk Consultant |
| This course demystified the modeling of the most difficult risk, the Operational Risk. Amazing faculty with relevant experience. |
| Rakesh, Operational R |
| For implementation of Basel in our bank lot of IT software were installed to calculate different kind of risk, it was very difficult to understand the sequence of events. With this course using Excel and R the modeling of frequency, severity, loss, VAR and arriving at capital estimates became manageable |
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