Written by an industry specialist, with over ten years op risk experience, this executive report serves as a working manual for operational risk professionals preparing to submit their AMA application. This essential resource will help you to ensure that your models are fully compliant. It will also prove a vital reference for auditors and regulators assessing these models.
With analysis and examples of the current methodology and regulation, this best practice guide allows you to benchmark your methods. Furthermore, it provides you with the tools and techniques needed to:
- Clearly document your validation process
- Explain and justify your modeling choices
- Assess the strengths and weaknesses of your models
- Anticipate any issues auditors might raise.
It concludes with a detailed discussion of the role of the user test, demonstrating how the measurement model is integrated into day-to-day risk management.
- Publish date
- 1 Dec 2007
- Executive report
Table of contents
1. An Introduction to Model Validation
1.2. Validation policy
1.3. Key components of validation
1.4. Validation of AMA models
2. Risk Measurement Process
2.1. Input validation
2.2. Model validation
Appendix A - An input-output model for operational interdependence in a complex organisation.
Appendix B - Discrete and continuous probability distributions
3. The AMA Validation Process
3.1. The AMA model
3.2. The validation policy
3.3. The validation report
4. The User Test
4.1. Not just a compliance exercise
4.2. Maintenance and evolution
4.3. AMA and the management of operational risk
4.4. AMA and the management of the bank: is it adding value?
Appendix A - Specimen of model documentation for model validation
Appendix: An AMA Validation Checklist
Glyn Holton, Contingency Analysis on The Operational Risk Manager’s Guide, also by Sergio Scandizzo:
“This is the best book on financial risk management I have read in a long time. If you work anywhere in the middle office, read it.“