BPS Operational Risk Advisory

BPS Operation Advisory works to develop and implement tools to manage and assess corporate and retail portfolios.  Our goal is to assist organizations in meeting Basel II guidelines while simultaneously enhancing existing credit assessment processes.   

Advisory Services:

• Basel II/Solvency II Operational Risk Framework Development and Implementation
• Capital Modeling through Standard Actuarial or Advanced Econometric Approaches
• Capital Allocation Methodology Development (VAR, TVAR, marginal contributions)
• Quantitative Support on Topics of Risk Aggregation, Copula/Tail Dependency Frameworks
• Structuring Internal/External Information Collection & Analysis (e.g., Structured Scenarios and Loss Data Benchmarking)
• Operational Risk Process Validation for Regulatory Approval

Key Features:

Basel II/Solvency II Operational Risk Framework Development

• Overview of organizational structure, loss event collection, assessments and reporting as groundwork for operational risk processes
• Hands-on development workshops focusing on RCSA, KRI and Control development
• Practitioners’ views on effective framework for modeling and validation methodologies based on sound industry practices (best practices) consistent with Basel II  
• Development of appropriate Basel II policies and processes

Capital Modeling

• Implementation of standard actuarial modeling approach focused on separation of frequency/severity of events and body/tail of aggregate distribution.
• Utilization of advanced econometric approaches to dynamically model frequency/severity of losses, introducing the effects of pro-cyclicality
• Correlation modeling supporting aggregation of risks across business lines utilizing copula-based approaches
• Capital allocation utilizing VAR, TVAR, marginal contributions approaches

Structuring Information Collection Processes & Analysis

• Development and support of structured scenario analysis methodology
• Analytical design of benchmarking process including development of peer group and statistical testing
• Development and implementation of Basel II –based validation procedures to gather usage data for regulatory approval preparation