MSTAR is the first tool specifically designed for operational risk scenario quantification.
The MSTAR approach is based on an analytic decomposition of an expert risk assessment; typically a classical Frequency and Severity rating, into a structured graphical model. Users can use MSTAR's intuitive functionality to share and collaboratively improve the model design. The completed models are then quantified combining internal or external data (backward-looking knowledge) as well as expert judgment (forward-looking knowledge)
• The MSTAR approach and functionality drives improved risk management behavior, because it:
- Elicits a deep understanding of the risk and related drivers,
- Entails a clear formalization of how these drivers influence the risk level
- Enhances transparency of assessment process and facilitates review and challenge
• MSTAR helps all stakeholders understand the process, as they all contribute to the model design and quantification - MSTAR models are the opposite of black boxes.
• MSTAR increases the chances that the regulator agrees that it is fit for purpose, since it allows a capital calculation which is in line with the business and risk profile of the company.
MSTAR is used by our clients within their regulatory capital and operational risk stress-testing frameworks.
MSTAR is in use within internal models approved by regulators: ACPR (France) & PRA (UK).
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