Chapter29-Risk measurement and reporting

Question 1

Framework

Answer 1

1 Subjective assessment of risk exposure
2 Model assessment of risk exposure
3 Ways to evaluate risk
4 Scenario testing for operational risk
5 Examples of operational risk categories
6 Stress testing and methods
7 Stress scenario model
8 Reverse stress test
9 Stochastic model to evaluate risk
10 Making stochastic modelling practical
11 ‘1 in 200’ event
12 Overall and individual capital risk requirement
13 Examples of correlation
14 Aggregating partially dependent risks
15 Copulas
16 Liability risk measurement
17 VaR
18 VaR drawbacks
19 TVaR
20 Risk portfolio
21 Reasons for risk reporting (FRAUD CRIME)
22 Reasons for consistent risk reporting in ERM
23 Two-tier model for determining capital to be held
24 Risk based capital requirements