Day 4

Setting up an integrated FTP model within the ALM function

• Measurement and quantification concepts
  • scorecards
  • loss distributions
  • internal model
  • internal and external loss databases
  • scenarios
  • frequency vs. severity
  • Key Risk Indicators (KRIs)
  • Key Performance Indicators (KPIs)
• Basel criteria and minima for OR capital, SMA approach for OR

• Overview of international regulatory framework and reporting requirements
  • Why ESG risks have to be core component of the risk department
  • Reporting, measurement and modelling climate risks
  • Quantification of climate risk impact

Quantifying climate risk impact of flooding events on financial KPIs and enterprise values with Monte Carlo methods

• Overview of key sources of Cyber risks and economic and business loss potential
  • Measurement of cyber risks: lessons from the insurance industry
  • The NIS2 directive: Overview and business impact

• Summary and final Q&A

Practical Workshop
Detailed review and discussion of delegates' own risk management challenges