大浩浩的笔记课堂——FRM考试学习笔记114

Topic 43 External Loss Data

1.External operational risk event data:

External events are useful:

⑴They can help inform the risk and control self-assessment activities.

⑵They can provide sample input for scenario analysis.

⑶They might be used to develop key risk indicators that monitor the changing business environment.

2.Sources of external loss data event data:

⑴subscription-based data:

①the mission:

To collect tail losses and so to provide examples of potential large exposures.

②the example——IBM Algo FISRT:

A.subscription data base

B.It includes descriptions and analysis of operational risk events derived from legal and regulatory sources and new articles.

C.It includes business lines other than the Basel BIS business lines(Insurance company losses are included).

D.FIRST external data is useful to finance services firms and also provides insight into the types of events that have occurred in the industry.

⑵consortium-based data:

the example——Operational Risk Data Exchange Association(ORX):

①consortium-based risk event service

②It gathers anonymous operational risk events from members.

③The data relate only to a subset of financial services,hose member banks that provide data to ORX.ORX publishes reports that summarize the data. 

④ORX use slightly different business line:

A.retail banking:

retail banking ＆ private banking

B.payment and settlement:

clearing

3.Comparisons between subscription and consortium database:

4.Challenges of external data:

⑴The external data are gathered from news resources,then they are subject to bias in reporting:

The methods of collection can produce biases in data that must be considered when analyzing external sources of data.

⑵It can be difficult to determine whether an event is relevant.

⑶The use of benchmarked data relies on the quality of the underlying data.

·特别注意！

·some control improvements:

*mandatory vacation policies

*Passwords were disabled for employees that had moved to new roles.

*Supervisory oversight was received.

大浩浩的笔记课堂之FRM考试学习笔记合集