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OP-301Operational riskExpert

Scenario analysis and quantification

Quantifying the extreme when history says nothing

The losses that matter are the ones that have not happened yet. This course covers building scenario workshops, countering estimation biases, bow-tie as a structuring tool, and presenting an extreme figure to a committee without losing credibility.

Learning objectives

  • Build a library of extreme scenarios
  • Facilitate expert estimation while limiting biases
  • Structure a scenario as a bow-tie
  • Present a defensible quantification

Intended audience

  • Operational risk
  • Modelling
  • Risk committees
  • Actuarial

Prerequisites

  • Loss data collection and key risk indicators

Detailed curriculum

Module 1

Estimating the unestimable

Biases, workshop technique, and the structure that makes a number debatable.

Module 2

Presenting an extreme figure

How a committee receives a tail estimate, and what makes it credible.