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Library & Papers

Sandra Giuffre has been published in multiple periodicals, while being recognized as a top advisor with extensive analytic techniques unique to various financial sectors.  Ms Giuffre has also been featured in a number of articles and conferences.  The following are key writings and industry information are available in full by request.


Published Work and Industry Leadership

 

Due to her successful leadership of operations and the responsibility for the profit and loss of various business areas, she became interested in metric-based initiatives.  In particular, her interest was in developing models and methodologies for understanding an organization's performance and capital optimization, shareholder value, and competitive advantage.  A paper that contained some of her early models, “Measuring Business Performance and Intellectual Capital: A Case Study of Evolving Practice and Theory" was published in 2001 by McMaster World Congress - Management of Intellectual Capital.

Overtime the models have been refined and new models have been developed. Key elements of her operational risk and performance-based methodologies have been adopted by leading organizations worldwide.  Her models were also sited by the World Bank in the “World Bank Working Paper No. 26, Electronic Safety and Soundness, Securing Finance in a New Age”.

For her pioneering work, along with Robert Merton, Ms. Giuffre was features by Treasury & Risk Management in the April 2006 article "Saying Goodbye to Risk, Really? A broad vision of derivatives might help companies shed unusual risks." She was also featured in the Operational Risk 2005: Special Edition of The RMA Journal article "Realizing the Opportunity for the Insurance Industry in Operational Risk Mitigation. An Interview with Sandra E. Giuffre."

Ms. Giuffre’s other published methodologies and papers include:

  • An article in the 2006 Oprisk & Compliance directory, "Valuing risks and the alternatives. Reducing the level of uncertainty and enabling organizations to optimize performance.

  • July 2005 Oprisk & Compliance Magazine article "Ensuring insurance.  Are Existing insurance products meeting financial institutions' needs?"

Ms. Giuffre is a recognized operational risk leader and has been asked to lead various industry initiatives and to speak at conferences. Her industry activities include:

  • Leading the session “Exploring the Synthetic Market and Longevity Swaps for The Life Settlement Conference, in March 2009, where the panel discussed the advantages of longevity swaps for investors. 

  • Presenting the “Next Generation of Risks – New Derivatives” session at the Securities Operations Forum’s (SOF) Derivatives Operations and Processing Conference, in April 2008. 

  • Leading the session “Operational Risk Derivatives - Using Derivatives as a Risk Transfer Tool” for The Securities Operations Forum (SOF) “5th Annual Conference for Operational Risk Management in the Securities Industry” in January of 2008.  

  • Leading the risk transfer session of the Global Conference on Operational Risk II hosted by the RMA and ORX[2], on transferring operational risk through insurance and derivatives trading as an adjunct to risk capital management, in March of 2008.

  • Along with a Milliman partner and Swiss Re, Ms. Giuffre was one of four panelist invited to speak at the Casualty Actuarial Society seminar session titled “Alternatives to Traditional Property Cat Reinsurance”, that was held in September 2007. 

  • In the best practice section of the August 2007 issue of OpRisk&Compliance, a new tool and the results of its use were featured in the article “The data puddle challenge”.  Ms. Giuffre developed the original loss event data normalization model used by, and co-created the tool with a consulting firm affiliated with the Risk Management Association (“RMA”).

  • An operational risk loss event data normalizer and warehouse that was designed and co-developed by Ms. Giuffre was featured at a Global Conference on Operational Risk in March of 2007, as the underlying engine supporting a metric-based risk control technology presented by EDS and RiskPrincipals.

  •  In 2006, ORX requested Ms. Giuffre review the results of their insurance recovery and operational risk loss event data.  She was asked to use the results to create alternative pathways for ORX to move insurance forward and present the alternatives to the members of ORX. 

  • February 2006, Giuffre Associates filed for provisional patent on a proprietary invention.  Ms. Giuffre presented mock term sheets and product specifications for futuristic risk solutions to the Basel II operational risk leader at Federal Reserve.

  • At the Association of Financial Professionals’ Annual Conference in October of 2005, Ms. Giuffre presented a two hour training session titled “Operational Risk Management: Improving the level of certainty and enabling improved organizational performance”.  

  • Two papers were published by Marsh in October 2004, “Operational Risk under Basel II, Marsh’s product innovation”, and “Insuring operational risk, How good is the coverage?” Excerpts from the documents included, “Nevertheless, we believe that ISDA is considering an operational risk derivative contract wording, where they will select a small number of exogenous operational risk events (external fraud, property damage, terrorism, etc.) and seek to define them in a standardized way which could permit trading.”; and “ It is important to note, however, that regulators advise that they would be reluctant to accept instruments that did not have an established track record in the commercial marketplace.  Essentially then, regulators would want to see operational risk derivatives in action for several years before considering them in a regulatory capital context.” 

  •  By the end of 2004 / early 2005, members of Marsh FINPRO’s Global Operational Risk team had executed $1 billion in regulatory approved credit risk transfer and which utilized insurance. It was believed that lessons learned from credit risk could be reapplied to operational risk.  Unfortunately, the operational inefficiencies associated with the P&C insurance industry created a daunting challenge. Accordingly, Ms. Giuffre’s team began developing hybrid solutions. 

  • In 2004, Ms. Giuffre presented a program on operational risk and insurance at a Federal Reserve internal education conference attended by over fifty regulators, responsible for supervising banks’ use of insurance. 

  • In 2003, Ms. Giuffre was sited by JP Morgan in a document provided to the members of the ITWG[4] for her contribution to a loss event database. xx In 2002, Ms. Giuffre co-chaired an operational risk initiative for the ITWG, re-evaluating the Basel II loss event models. The results of the study (which included an initial list of exposure factors) were subsequently provided to the ITWG members.

  •  In 2001, Ms Giuffre’s Global Operational Risk team had created an operational risk loss event database and conducted a study on the relevancy of insurance.  The study showed that less than 30% of operational risk loss events would trigger insurance coverage; the study assumed the entity purchased all available insurance products, had no deductible, and unlimited capacity.  She also created a loss event classification model that laid the foundation for the classification models used by many of the Basel II banks today.




[1] One of her models was recently used to create a new tool featured in the article “The data puddle challenge.  The loss event taxonomies currently in use are inadequate.” featured in the August 2007 edition of  Oprisk & Compliance. 

[2] ORX is a global data consortium made up of more than 30 AMA banks collecting operational risk loss event data.  

[3] At the time of the analysis, there were more than 40,000 loss events within the ORX database.

[4] The Industry Technical Working Group was comprised of Operational Risk leaders of AMA banks.  The ITWG played a critical role in the development of the Basel II loss event classification models, and other operational risk industry developments.  Members of the ITWG included JP Morgan, Deutsche Bank, Citi, UBS, etc. 

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