March 13, New York

WORKSHOP 1: Future of operational risk modeling post AMA

PROGRAM

8:30 Registration and breakfast

9:00 A Theory of Operational Risk

Diane R. Maurice, Techncial Advisor- Office of Technical Assistance - International Banking, US DEPARTMENT OF TREASURY

10:00 Morning coffee breakand refreshments

10:30 Comments on the Basel Committee on Banking Supervision proposal for a new standardized approach for operational risk

  • SMA design
  • Framework strengths: Simplicity and Comparability
  • Framework weaknesses

Marco Migueis, Banking Supervision and Regulation - Quantitative Risk, FEDERAL RESERVE BOARD GOVERNORS

11:30 Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?

Dr. Gareth W. Peters, Assistant Professor in the Department of Statistical Science, UNIVERSITY COLLEGE LONDON

12:30 Lunch

1:30 Operational risk modeling and the use of AMA models in a world post AMA

  • Useful operational risk models
  • Using multiple models and benchmarks
  • Quality data and estimates that match with empirical reality
  • Incentives, communication, acknowledging uncertainty, and feedback loops

Robert Stewart, Economist, FEDERAL RESERVE BANK OF CHICAGO

3:00 Afternoon break and refreshments

3:30 An assessment of operational loss data and its implications for risk capital modelling

  • Introduce a method for dealing with operational loss data
  • Apply to actual data
  • Evaluate the outcome
  • Assess implications on capital modelling

Ruben D Cohen, Independent Consultant

4:30 End of workshop

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