Risk factors for operational risk

AnLaPeAnLaPe
in OSFI.MCT

Just an FYI for anyone who like me might not have realized it by now...

The syllabus for the MCT text states

Candidates are not responsible for risk factors relating to insurance, market, or credit risk.

I thought the exclusion of operational risk was a mistake since they were always given in past problems, but 2018S-18a requires us to calculate the operational risk margin and does not give the risks factors.

This distinction does not seem to be mentioned anywhere in the wiki

Comments

  • grahamgraham
    edited April 2022

    This is a very fine distinction they're drawing in the syllabus.

    Note that in this more recent exam problem the operational risk factors were indeed provided:

    I think it's more fair to provide these risk factors rather than have you memorize them and maybe the CAS has decided you don't have to memorize them anymore, but I wouldn't count on it. I believe that in the past, you were always given the necessary risk factors for insurance, market, and credit risk but those may depend on the line of business. With operational risk, the risk factors are always the same.

    So to be on the safe side, it's probably a good idea to memorize the operational risk factors. I've inserted a note in the wiki here:

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