Latest Developments in Managing Operational Risk:
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1 Latest Developments in Managing Operational Risk: The Insurance Perspective 19 March 2004
2 Background Most financial institutions will neither need nor be expected to achieve the complex risk-management practices required by the new Basel Accord for large, complex banking organizations, but their operations will not be unaffected. Success, indeed survival requires that we all adapt. -Alan Greenspan, Federal Reserve Chairman October 7,
3 Introduction Unlocking the value of insurance Case study Keys to optimising insurance Steps to success The way forward Creating the hedge Emerging best practice New vs. old methods of purchasing insurance Aon s role 3
4 Unlocking the Value of Insurance Natural hedge for operational risk Most major operational risks are insurable: Unauthorised trading Product mis-selling Potential to use risk transfer as a capital mitigant for up to 20% of the operational risk charge Integral element of the capital spectrum 4
5 Unlocking the Value of Insurance Case Study Profile of sample institution: Headcount 43,202 Total Assets 353,193 Risk Weighted Assets 228,808 Tier 1&2 Capital 24,468 Gross Income 16,071 * All figures in Euro millions except headcount * Source Adjusted Annual Report 5
6 Unlocking the Value of Insurance Case Study Basic Approach: Min. Regulatory Capital 18,305 12% of MRC 2,197 Capital of Gross Income 2,411 * All figures in millions * Source Adjusted Annual Report 6
7 Unlocking the Value of Insurance Case Study Standardised Approach: Business Lines Weighting Revenue Capital Charge Corporate finance 18% 1, Trading and sales 18% Retail banking 12% 6, Commercial banking 15% 2, Payment and settleme 18% Agency services 15% Asset management 12% 4, Retail brokerage 12% Capital charge 2,131 * All figures in millions 7
8 Unlocking the Value of Insurance Case Study Advanced Approach Basic Approach charge 2,411 less possible reductions : Instituting an AMA approach 362 Maximum allowable for insurance 482 AMA Capital charge 1,567 Total Capital Saving 844 Annual Net Profit Increase 1 68 * All figures in millions 1 Assuming 8% return on free banking capital 8
9 Keys to Optimising Insurance Identification & Risk Mapping Gaining insight into the sources of operational risk Extract existing loss experience Map risk into relevant categories 9
10 Keys to Optimising Insurance Quantification Developing the operational risk profile Determine: Exposures Economic capital requirements Risk dependencies / correlations Cross-validate with qualitative assessment 10
11 Keys to Optimising Insurance Risk Profiling Assessing risk appetite Determine level of risk appetite Establish risk tolerance thresholds Align profile to strategic goals 11
12 Keys to Optimising Insurance Develop the Risk Finance Programme Minimising quantity & cost of capital Risk financing programme: Internal risk finance Insurance Capital markets 12
13 Keys to Optimising Insurance Matching Capital to Exposure Exposure ( b) Expected Loss Retained Loss Contingent Capital Insurance % 60% 70% 80% Cumulative Probability 90% 100% 13
14 The Way Forward Creating the Hedge Contingent Future Clients, Products & Business Practices Internal Fraud External Fraud Executive, Delivery & Process Management Damage to Physical Assets Employment Practices and Workplace Safety Business Disruption and System Failures Capital Relationship Risk People Risks Physical Assets All Risks External Fraud Technology Risk Typical Advanced Fidelity Fidelity ECCP ECCP PI PI D&O D&O EPL Unauthorised Trading Organisational Liability Property All Risks Non-Financial Property All Risks General & Other Liability General & Other Liability Leading edge 0% Operational Risk Protection 100% Hedge 14
15 Emerging Best Practice New approaches to insurance purchase Previous New Budget Based Aligned with strategic Market Availability goals Peer group analysis Economic tool Incentive based across business lines 15
16 Aon s Role Investing in the necessary tools of the discipline: OpBase ORiLDA Extensive expertise in risk assessment and transfer Advising regulators Working with practitioners to take insurance to the next level 16
17 Conclusions Insurance has a significant role to play in operational risk management Maximising the benefits requires a disciplined, scientific approach Early adopters are emerging Competitive advantage if best practice adopted 17
18 Questions? Daniel Butler Telephone:
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