Pre-conference workshop 1, March 25, New York

WORKSHOP 1: Modeling operational risk using Bayesian inference and advances in LDA modeling of operational risk

8:30 Registration and breakfast

9:00 Overview of measuring, modeling and managing operational risk

Marcelo Cruz, Adjunct Professor, Leonard N. Stern School of Business, Kaufman Management Center, NEW YORK UNIVERSITY

10:30 Morning coffee break

11:00 Using KRIs in operational risk modeling: operational risk management and stress tests

Marcelo Cruz, Adjunct Professor, Leonard N. Stern School of Business, Kaufman Management Center, NEW YORK UNIVERSITY

12:30 Lunch

1:30 Combining different data sources for operational risk estimation

Typically operational risks cannot be estimated using historical losses only and expert judgements have to be incorporated into the model. This talk will present statistical methods for combining historical data and expert judgements.

Pavel V. Shevchenko, Senior Principal Research Scientist - CSIRO Mathematics, Informatics and Statistics Adjunct Professor - School of Mathematics and Statistics UNSW, School of Mathematical Sciences UTS Honorary Senior Research Associate - Department of Statistical Science, University College London

3:30 AMA benchmarks

Bakhodir Ergashev, Senior Economist, the Office of the Comptroller of the Currency, US DEPARTMENT OF TREASURY

5:00 End of workshop

About this workshop:

  • An overview of the state of the art of operational risk measurement and management. How this had evolved in the past few years and where banks and insurers are going with their frameworks.
  • The challenges presented by stress testing and CCAR: how financial institutions can assess how the macroeconomic environment affects their operational risks
  • Using key risk indicators and control environment factors can help OR frameworks to be very similar to those of market and credit risks. How to build models to handle those.

Who should attend:
• Operational risk quant analysts
• Operational risk managers
• Operational risk analysts
• Operational risk capital analysts
• Quantitative analysts, etc.

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