Risk Management
Task Force

Risk Management Metrics (RMM) Subgroup Minutes

 

Risk Management Metrics
November 16, 2004
9:00 a.m. Central Time

Participants: Fred Tavan (Chairperson), Shabnam Khosrowhshahi, Julie Perks

Discussion on Risk Metrics Database
We discussed the ongoing viability of the completion of the risk metrics database given the lack of available volunteers. There is a lot of interest for the results of this work, however, there is a shortage of volunteers needed to bring the project to successful completion. Fred, Julie and Shabnam will continue the project and focus on the cause and effect relationships elements of operational risk categories (as shown in AAA framework) in order to identify the key risk indicators (KRIs) for each. This work will then be used to spawn a new project where we will use Fuzzy Logic modeling to build examples of how this type of technique can be used for risk measurement.

New volunteers are welcomed in joining this new effort and join the rest of the team in learning about Fuzzy Logic applications. We will proceed forward with the following steps:

  • learn about the theory behing Fuzzy Logic
  • track down the tools necessary to develop a real life application
  • select a prototype application from a company
    determine what the KRI's are for the selected risk categories
  • develop distributions for the KRI's
  • feed the KRI distribution into a Fuzzy Logic engine
  • perform analysis on the results

Next Call
The next call will be on December 2, 2004 at 9 a.m. Central Time.

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