Your SlideShare is downloading. ×
0
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
SAS Operations Risk Solutions
Upcoming SlideShare
Loading in...5
×

Thanks for flagging this SlideShare!

Oops! An error has occurred.

×
Saving this for later? Get the SlideShare app to save on your phone or tablet. Read anywhere, anytime – even offline.
Text the download link to your phone
Standard text messaging rates apply

SAS Operations Risk Solutions

2,225

Published on

The financial institutions must measure and manage operational risk in a scientific way – not just for regulatory purposes, but also for making sound business decisions – and that an organization's …

The financial institutions must measure and manage operational risk in a scientific way – not just for regulatory purposes, but also for making sound business decisions – and that an organization's approach to operational risk must also be integrated to support the need for a complete view of the risks faced. This requires an architecture that supports the data and methodologies, usability criteria and ability to distribute key risk information effectively across the enterprise for a variety of different users.
This presentation covers Punjab National Bank's experience of implementing sound operational risk program.

Published in: Technology, Business
1 Comment
7 Likes
Statistics
Notes
No Downloads
Views
Total Views
2,225
On Slideshare
0
From Embeds
0
Number of Embeds
1
Actions
Shares
0
Downloads
0
Comments
1
Likes
7
Embeds 0
No embeds

Report content
Flagged as inappropriate Flag as inappropriate
Flag as inappropriate

Select your reason for flagging this presentation as inappropriate.

Cancel
No notes for slide

Transcript

  1. make connections • share ideas • be inspired India’s Largest Analytics ForumSAS OpRisk SolutionA Case StudyV. K. SrivastavaDeputy General ManagerPunjab National Bank Copyright © 2011, SAS Institute Inc. All rights reserved.
  2. Contents Objective Components of SAS OpRisk Solution System Architecture Issues and Challenges Future EnhancementsCopyright © 2011, SAS Institute Inc. All rights reserved.
  3. ORMF - Status Organizational Setup Policy Frameworks Loss Data Collection • Internal Losses • Near Misses • External Losses Key Risk Indicators Risk & Control Self Assessment Surveys Scenario Analysis Business Line wise Mapping of GICopyright © 2011, SAS Institute Inc. All rights reserved.
  4. Objectives Replacement of the manual system of collection of data with system driven Technology; Making the existing ORM system more robust, dynamic & accurate. Measurement of Capital Charge under Advanced Measurement Approach (AMA) as against the present system of Measurement under BIA & TSA approaches. Make the Bank Basel compliant.Copyright © 2011, SAS Institute Inc. All rights reserved.
  5. SAS OpRisk Solution – Components SAS OpRisk Monitor Internal Loss Data Collection Risk and Control Self Assessment Surveys (RCSA) Key Risk Indicators (KRI) Scenarios generation and analyses Issues Tracking System BIA & TSA SAS OpRisk Report Studio SAS OpRisk VaRCopyright © 2011, SAS Institute Inc. All rights reserved.
  6. IT System Architecture Other CBS Sources EDW Manual SAS feed MonitorCopyright © 2011, SAS Institute Inc. All rights reserved.
  7. System Architecture EDW CBS Loss Data Collection Manual Feed CO/FPIS/IAD/ Security Assessment ORMD/ Creation All Business Owners RCSA Assessment Response All Business Owners Monitor KRI Definition ORMD/ All Business Owners KRI EDW/ KRI Response Assigned Respondents Scenario ORMD/ Definition All Business Owners Scenarios ORMD/ Scenario Feed All Business OwnersCopyright © 2011, SAS Institute Inc. All rights reserved.
  8. System Architecture Report Portal Loss Data OpRisk Collection VaR Monitor External Loss Data RCSA - Public Loss - CORDEX Scenarios KRICopyright © 2011, SAS Institute Inc. All rights reserved.
  9. Recording Loss Data Create Event Create Create Loss Recovery Collection of Loss Events Settled, Provided, Potential, Near Misses, Estimated etc. Modification/ updation of existing events Facilitates maker and checkerCopyright © 2011, SAS Institute Inc. All rights reserved.
  10. Reports Through Portal Reports can be viewed by ORMD, HO & Circle Offices through SAS OpRisk Report Link The SAS OpRisk Reports provides following category of reports BIA/TSA Reports Internal Loss Data Reports RCSA Reports KRI Reports Scenario Reports External Loss Reports Trend Reports Live ReportsCopyright © 2011, SAS Institute Inc. All rights reserved.
  11. SAS OpRisk VaR Analytical tool; aids in performing analyses of operational loss data for regulatory requirements Provides the ability to normalize (scale) loss frequency and severity data to the current size of business. Incorporates effect of KRI & RCSA on VaR Enables mixing of internal, consortium and external loss data and the Scenario outputsCopyright © 2011, SAS Institute Inc. All rights reserved.
  12. Project Components Following project components are to be created in SAS OpRisk VaR Cross Classification variables: for 8x7 matrix Filters: for filtering loss data Insurance policies: imported from OpRisk Monitor Scale Adjustments: for scale adjusting for size and time Scenario collectionsCopyright © 2011, SAS Institute Inc. All rights reserved.
  13. Empirical Matrix Provides moments based on empirical loss data, for each of internal, consortium and external loss dataCopyright © 2011, SAS Institute Inc. All rights reserved.
  14. Fitting / Displaying Diagnostic graphsCopyright © 2011, SAS Institute Inc. All rights reserved.
  15. Mixing of data SAS OpRisk VaR provides for mixing of internal and external/ consortium loss data, and also set cell level sufficiencyCopyright © 2011, SAS Institute Inc. All rights reserved.
  16. Impact of Scenarios and KRI/RCSACopyright © 2011, SAS Institute Inc. All rights reserved.
  17. Computation of VaR and VaR plotCopyright © 2011, SAS Institute Inc. All rights reserved.
  18. Generation of VaR ReportsCopyright © 2011, SAS Institute Inc. All rights reserved.
  19. Pre Requisite for SAS OpRisk OR Policies, Systems and Procedures Requirement of skill – Concepts & Tools Management support Creating value by leveraging the system Integration with existing MI System Technical support Ownership & PerseveranceCopyright © 2011, SAS Institute Inc. All rights reserved.
  20. Issues and Challenges Ensuring completeness of data Lack of pooled data Updation of RDC Creating impact of Insurance in VaR Conduct of Scenarios Handling Model Based Scenarios in OpRisk VAR Estimation of CorrelationCopyright © 2011, SAS Institute Inc. All rights reserved.
  21. Issues and Challenges Setting relation of KRI to Loss data Aggregation of KRIs and RCSA for OpRisk VaR Implementation and support System Upgradation Documentation Develop Understanding Create awarenessCopyright © 2011, SAS Institute Inc. All rights reserved.
  22. Future Enhancements Capturing loss data and BL-wise PL data from all available sources through EDW. Up-gradation of SAS OpRisk. Leveraging SAS OpRisk solution for Fraud Reporting from field for onward submission to FIU Capturing of KRI data directly from : RBIA RBMA HRMS AML FRM (Fraud) ADC (Alternate Delivery Channels)Copyright © 2011, SAS Institute Inc. All rights reserved.
  23. make connections • share ideas • be inspiredIndia’s Largest Analytics ForumThank YouV. K. SrivastavaMob: 9868879299vishesh@pnb.co.invishesh1966@yahoo.co.uk Copyright © 2010, SAS Institute Inc. All rights reserved.
  24. Internal Loss Data Reports List of Rejected Loss Records during a period Report of Updated Loss Records List of all loss records above a fixed threshold sourced from EDW Analysis of Operational Losses with Business Figures Analysis of Operational Risk Loss Data-Percentage of Gross/Net Losses above Threshold (Q/HY/Total) Summary of Trend Analysis of the major loss events (Q/HY/Y) Comparative position of losses (event-wise) for the period (Q/HY/Y) Comparative position of losses (failed-control and cause-wise) for the period (Quarter) Loss Event Category wise position of loss data (Above Threshold) during the last xx yearsCopyright © 2011, SAS Institute Inc. All rights reserved.
  25. Internal Loss Data Reports Top 50 losses (basis gross loss amount) by BL/LE category for a quarter Internal losses classified as loss event category and causal factor wise (FY/HY/Q wise trend analysis) Business Line wise and Loss Event wise causal factor analysis- Borrowal related losses Operational risk above threshold: gross losses by business lines and loss event types in the last year Operational risk above threshold: net losses (gross loss amount net of all recoveries except insurance) by business lines and loss event types in the last year Operational risk above threshold: net losses (gross loss amount net of all recoveries including insurance) by business lines and loss event types in the last yearCopyright © 2011, SAS Institute Inc. All rights reserved.
  26. Internal Loss Data Reports Total Loss Amount by BL/LE Type (YoY/QoQ/HYoHY comparison) Operational risk above Threshold: • No. of losses and Gross Loss Amounts • No. of losses and Gross/Net Loss Amounts by Business Line and Generic Process • No. of losses and Gross Loss Amounts by Business Line and Risk category • No. of losses and Net Loss Amounts by Business Line and Sub-Process • No. of losses and Net Loss Amounts by Business Line and Cause • No. Of losses and Net Loss Amounts by State And Loss Event typeCopyright © 2011, SAS Institute Inc. All rights reserved.
  27. Internal Loss Data Reports Mitigants available by Business Line and Event Type for Borrowal /Non Borrowal losses Near Miss Events: Loss involved by Business Lines and Loss Event Types in the last year MO wise Loss Data across BL, Division, Activity and Risk Category MO-Wise Loss Data Report across Business Line, Risk Category with Process and Control Detailed loss data for a given periodCopyright © 2011, SAS Institute Inc. All rights reserved.
  28. External Loss Data Reports External loss events : Loss involved by business lines and loss event types External operational risk above threshold: No. of events and gross loss amounts by state and loss event type External Loss Events: Bank Wise Gross Loss and Financial Information Top 10 External Loss Events In Q.E. (per BL-RC combination) Summary Of External Loss Data (YoY/HYoHY/ QoQ)Copyright © 2011, SAS Institute Inc. All rights reserved.
  29. Trend Reports Summary of Trend Analysis of the major loss events (Q/HY/Y basis) Internal losses classified as loss event Category and causal factor wise (Q/HY/FY wise trend analysis) Business Line wise and Loss Event wise causal factor analysis- Borrowal related losses Analysis of Operational Risk Loss Data-Percentage of Gross Losses above Threshold (Q/HY/Y) Analysis of Operational Risk Loss Data-Percentage of Net Losses above Threshold (Q/HY/Y) Comparative position of losses (event-wise) for the period (Q/HY/Y)Copyright © 2011, SAS Institute Inc. All rights reserved.
  30. Live Reports RCSA Comments Report (Live) RCSA User Wise Exceptions Report (Live) CO Wise Loss Data Report (Live)Copyright © 2011, SAS Institute Inc. All rights reserved.
  31. BIA ReportsCopyright © 2011, SAS Institute Inc. All rights reserved.
  32. TSA ReportCopyright © 2011, SAS Institute Inc. All rights reserved.
  33. RCSA ReportsCopyright © 2011, SAS Institute Inc. All rights reserved.
  34. KRI ReportsCopyright © 2011, SAS Institute Inc. All rights reserved.
  35. Scenario ReportsCopyright © 2011, SAS Institute Inc. All rights reserved.

×