Robin Phillips, Managing Director, JPMorgan Chase
Douglas Hoffman, President, Operational Risk Advisors, LLC
Grace Baltusnik, Senior Vice President, Bank of America
Ken Fuerst, Senior Vice President, HSBC
Philippa Girling, Chief of Staff, FHC Governance and Assurance Dept., Morgan Stanley
Robin Phillips reported on a range of practice survey conducted in mid-2010 and on AMAG responses to BIS consultative documents on sound practices and AMA supervisory guidelines. The range of practice survey looked at governance, loss data management, BEICFs, scenario analysis, capital models, validation, reporting infrastructure, and use tests among AMAG members.
Grace Baltusnik said AMAG’s scenario analysis working group’s objectives are to share practices and learn from each other and to establish a strategic industry position to share with and influence stakeholders. Focus areas include strategic objectives for scenario analysis, Basel II Advanced Measurement, and risk management practice.
According to Philippa Girling, the data issues working group took a deep dive into some of the data issues that arose in the range of practice survey and focused on five areas with the widest range of practice in loss data: how legal losses are recorded, settlements, external legal fees, legal dispute wins or dropped cases, and timing differences.
Ken Fuerst spoke about the work of the capital model working group. They have looked at the following:
- Technical components, including inflation and exchange rate variability, and correlation
- Model assessment, including standards, credibility, and coverage ratio metrics
- Model evolution, including regulatory expectations, frequency of re-evaluation, changes in granularity, and responsibility for oversight of changes