Operational Risk: Design and implementation of a scoring model and self-assessment for a tier 1 German bank

Challenge and Regulatory Context

  • The client had for six years been performing a self-assessment which used only generic questions and estimated exposure
  • The objective was to determine OpRisk scores through the method analysis of all OpRisk and scenario-based analyses of particularly risk-prone areas
  • Top 10 German public sector bank under ECB supervision

Success

  • We created a scoring “risk map” using the loss database, qualitative self-assessment, anonymous consortium data as well as publicly available information about OpRisk events
  • We revised and implemented qualitative self-assessment analysis for risk-prone areas and processes.
  • The bank is better able to identify trends and implement the necessary measures

Approach

  • Based on a thorough assessment of the client’s needs a risk map was designed to aggregate and present on a regular basis information about the types of risk and their locations within the organisation
  • To determine the risk level within a specific location we introduced a self-assessment using qualitative questioning and this functioned as a comprehensive OpRisk intervention
  • The second component of the self-assessment was a detailed scenario analysis applied to areas where a high OpRisk score was determined by the risk map

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