Banks Act, 1990 (Act No. 94 of 1990)RegulationsRegulations relating to BanksChapter II : Financial, Risk-based and other related Returns and Instructions, Directives and Interpretations relating to the completion thereof33. Operational risk: six-monthly returnDirectives and interpretations for completion of six-monthly return concerning operational risk (Form BA 400)Subregulation (9) Advanced measurement approachSubregulation (9)(d) Qualifying criteriaSubregulation (9)(d)(vii) Scenario analysis |
(vii) Scenario analysis
As a minimum, a bank—
| (A) | shall use scenario analysis in conjunction with external data in order to evaluate— |
| (i) | the bank's exposure to high-severity events; |
| (ii) | the impact of deviations from the correlation assumptions embedded in the bank's operational risk measurement framework; |
| (iii) | potential losses which may arise from multiple simultaneous operational risk loss events; |
| (B) | shall have adequately skilled staff— |
| (i) | to conduct the scenario analysis; |
| (ii) | to derive reasoned assessments of plausible severe losses; |
| (C) | shall over time, in order to ensure the reasonableness of its risk measures and assessments, validate and re-assess the said assessments of plausible severe losses generated through scenario analysis through comparison to actual loss experience. |