Categorization of risksInternal fraudExternal fraudEmployment practices and workplace safetyClients, products and business practicesDamagetophysical assetsBusiness disruption and system failuresExecution, delivery and process management
Categorization of risks ⚫ Internal fraud ⚫ External fraud ⚫ Employment practices and workplace safety ⚫ Clients, products and business practices ⚫ Damage to physical assets ⚫ Business disruption and system failures ⚫ Execution, delivery and process management
The Task Under AMA Banks need to estimate their exposure toeach combination of type of risk andbusiness lineldeally this will lead to 7 X 8=56 VaRmeasures that can be combined into anoverall VaR measure
The Task Under AMA ⚫ Banks need to estimate their exposure to each combination of type of risk and business line ⚫ Ideally this will lead to 7×8=56 VaR measures that can be combined into an overall VaR measure