OPERATIONAL RISK BACK-TESTING PROCESS USING QUANTITATIVE METHODS

摘要

Methods, computer-readable media, and apparatuses are disclosed for quantifying risk and control assessments. The risk includes both residual risk and direction of risk. Various aspects of the invention quantitatively compare the risk and control assessments against step-ahead losses using special regression models that are particularly applicable to this kind of data. The empirical comparison may be performed on both loss event frequency and severity in two different and separate dimensions. The empirical comparison may also be performed using losses extracted by even occurrence and event settlement dates in two separate dates.

主权项

1. A method comprising:
translating a set of risk assessments and a set of control assessments to a set of risk states and a set of risk points across a plurality of dimensions, wherein the dimensions comprise at least people, process, systems and external events; determining a set of aggregate risks comprising a combination of the set of risk points corresponding to each dimension of the plurality of dimensions; and conducting, by one or more computing devices, data analysis and statistical analysis on a set of realized financial losses, the set of risk states, the set of risk points, and the set of aggregate risks; and determining a risk-based capital adjustment based, at least in part, on a qualitative adjustment factor determined from the data analysis and the statistical analysis.