Risk measurement and capital management: reflecting on 2023 and outlook for 2024

POSTED BY ORX | 06 FEBRUARY 2024

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In 2023, ORX ran a number of projects as part of the revamped Analytics Working Group and Analytics Community, the format of which was re-established in 2022 to improve the value of ORX’s risk measurement research for the ORX membership.

Find out about some of the research that ORX undertook in 2023, as well as the planned activities for 2024.

2023 in review

2023 was another successful year in the analytics space for ORX, with a number of key research projects released over the course of the year.

Key milestones include:

Risk measurement modelling beyond AMA

Basel III and standardised approaches to capital 2023 study

Capital Benchmark 2023

An overview of the stress testing landscape for operational risk

Plans for 2024

In 2024, ORX has planned a wide variety of activities relating to research in the risk measurement space.

Some of the AWG activities planned for H1 include:

Focus calls where participants will have the chance to discuss best practice relating to modelling methodologies for specific risks.

ORX will be looking to develop analytics on its loss data offering. ORX hopes to set up an advisory team with a core set of firms who will help ORX deliver this project. This will allow ORX to better define its future loss reporting, which may include benchmarking, treated data or correlations with external factors.

To support with the above activities, ORX will be running a short snap survey with the AWG in January and February to understand what topics should be prioritised for the focus calls and identify individuals who would like to help ORX enhance the value of its loss data. This survey will launch on Wednesday January 31st and will run until Wednesday 14th February.

ORX will also be looking to run some initiatives with the AWG throughout the year:

As part of a wider initiative to improve the AWG and understand how best to deliver value for participants, ORX will be looking to run 1-1 calls with all AWG members across the year. This will give firms the opportunity to feedback on what they find valuable and what could be improved with regards to the AWG.

The 2024 Capital Benchmark report, which will support with regulatory capital benchmarking in the new SA environment.

A compilation of high level figures from Pillar 3 disclosures by European and US firms.

ORX may look to launch further work packages as the year progresses, depending on demand from the AWG.

The Analytics Community will be kept informed of the above activities as part of calls that ORX will look to run, giving the wider Community the chance to discuss the findings from the upcoming focus calls amongst other topics.

About the Analytics Working Group

The Analytics Working Group is part of the wider ORX Analytics Community. The working group was formed to undertake collective analysis of the ORX global loss database and to increase the understanding and use of the data, including developing common analytical tools. From this, the scope has expanded and we now run a large number of one-off and regular risk measurement projects.

The group is made up of a small number of representatives from our member organisations. Participants attend online meetings, actively engaging in discussions, working on specific tasks and projects, and helping to guide the direction of the Analytics Community.

About the Analytics Community

The Analytics Community is open to all ORX members who are interested in risk measurement. There is no limit on participants per firm – anyone from a member organisation who is interested may sign up. As part of the Community, ORX runs virtual focus sessions and webinars giving participants the opportunity to stay up-to-date with AWG activities and discuss topics such as modelling, stress testing and capital with peers. Firms can also participate in regular studies such as our capital benchmarking and capital methodology studies.