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Op Risk Case Study: Integrating Scenario Analysis into Op Risk Capital Modeling at Wachovia

Mash Risk Television

Richard Campbell, SVP, Mgr Op Risk Methodology

Runtime: 9:18

Key Takeaways:

  1. Wachovia Corp. is one of the largest providers of financial services in the U.S. 2006 revenue was $46.8 billion.
  2. Op Risk managers are in each business segment and support group. All are involved in the rollout of the scenario analysis process.
  3. Scenario analysis is done annually in each major business line and primary support area for 15-18 significant operational risks. It is a direct input into the capital model at both the corporate and business segment level.
  4. Each scenario analysis workshop takes 2-3 hours to complete, but requires significant upfront work including acquisition of external and internal data, business environment surveys and internal control risk assessments.
  5. Key Learning: You’re not going to do scenario analysis completely right the first time. You have to be dedicated to continuously improving both the scenario analysis process and inputs.

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