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Managing operational risk in relation to internal capital adequacy assessment process (ICAAP)
Journal of Securities Operations & Custody,
9
(2),
185-191
(2017)
Abstract
As banks struggle to quantify operational risk in relation to their internal capital adequacy assessment process (ICAAP), it becomes critical to align the various elements of the risk framework to make an informed judgement. This is where internal processes such as the risk and control self-assessment (RCSA), risk event management and scenario analysis play a key role in understanding and quantifying operational risk. When combined, outputs from each of these individual processes provide a powerful input for operational risk capital calculation. Additionally, the culture and conduct of the firm will play a pivotal role in implementing a robust framework, which further assists the management in meeting the requirements of the ICAAP.
Keywords: operational risk, ICAAP, scenario analysis, conduct risk, loss distribution
The full article is available to subscribers to the journal.
Author's Biography
Rajat Baijal has worked within risk management for about 15 years. During this time, he has worked with a number of global banks and insurance firms specialising in the design and implementation of their operational risk framework. Rajat is currently the Head of Enterprise Risk at Cantor Fitzgerald where he leads the embedding of the operational risk framework across the banking/brokerage institution. Rajat received his MBA from University of Glasgow specialising in finance. He is a regular speaker at prominent risk conferences in London and New York. In his spare time, he likes listening to heavy metal music (to take his mind off operational risk!) and running half-marathons.
