Risk Plus
Operational Risk Scenarios, Market and Counterparty Risk for ICARA
-----------------------------------------------
Identify risk & scenario inputs and assumptions
Valiate your firm's Overall Financial Adequacy
Benchmark your firm's MIFIFPRU8 disclosure
A product of Monte Carlo Plus↗︎FCA Fines 2013-2025
----------------------------Consists of 311 fines across various sectors e.g. banking, asset management, retail brokerage, and concern areas e.g. Breah of AML, ABC rules, code of practice, conduct, etc.
FCA Section 166 - Modelled cost per case - 2012-2025
---------------------------------------------------------An independent review of activities that cause FCA concern. Either the firm or the FCA can appoint the skilled person firm(s) to do this. In each case, the FCA sets the scope of the review and the firm pays the costs.
Next steps
You should try below for identifying and assessing operational risk scenarios
Templates for
Generic Operational Risk Scenarios and for a 'Breach of Investment Guidelines' Scenario
Look at the 'Publicly Available Loss Data' and 'Banking and Finance Scenarios' sections for generic types of operational risk events.
Look at the 'Investment Firms Scenarios' for specific scenarios for firms subject to IFPR.
Look at the 'FCA Fines' section to gain an understanding of the regulatory concern areas and the reason why firms are being fined.
Also look at the 'FCA Section 166s' section. Section 166s are external 'Skilled-Person' reviews of the firm's activities.
If you have some annual loss data for your scenario you can estimate your 1in20 or 1in20 impacts using Internal Loss Data App.
You also need to look at the chance of occurence: see the 'Likelihood Template'
With inputs for impact & likelihood now you are ready to model the capital requirement at e.g. 99.5%: the Scenario Risk App.
You should try below for benchmarking your firm's financial adequacy
Compare & validate your firm's overall financial adequacy - See the 'Mifidpru8 - Disclosure on Funds' Section.
Benchmark your firm's Own Funds Threshold Requirement (OFTR): See the 'Mifidpru8 - Disclosure on Risk' Section.
See how your firm's remumeration stands in comparison to your peers': See the 'Mifidpru8 - Disclosure on Remuneration' Section.
An investment firm has counterparty risk, market risk and liquidity risk
For Market Risk - See 'Value at Risk' Section and 'Volatility' Section.
For Counterparty Risk - See 'Counterparty Value at Risk' Section and 'Probability of Default Analysis' Section.
For Liquidity Risk - Liquidity Value at Risk App where one-month expenses can be modelled at 99.5% level.