Seminar One, March 20

SEMINAR 1: State of the art operational risk measurement

Seminar leader: Marcelo Cruz, Global Head Of Operational Risk Analytics, MORGAN STANLEY 

• 08:30 Registration and breakfast
• 09:00 Basics of risk management
• 10:30 Morning break
• 11:00 Modeling operational risk data
• 12:30 Lunch
• 1:30 Measuring operational risk - developing a risk sensitive VaR
• 3:00 Afternoon break
• 3:30 Hedging operational risk, insurance and Six Sigma
• 5:00 End of seminar

Speaker biography

Marcelo Cruz is a Global head of Operational Risk Analytics at Morgan Stanley. Before, he was an associate partner at McKinsey & Co. and was the Group Chief Risk Officer of Aviva plc, the 5th largest insurer in the world. Prior to that, he led operational risk at Lehman Brothers and UBS and for 4 years rAn his own boutique consulting firm.  He was a derivatives trader at JP Morgan for many years before moving to risk management. He holds a PhD in Mathematics from the Imperial College in London, a M.Sc. in Finance and MBA, and a B.Sc. in Economics. He is also an adjunct professor at NYU and Columbia and wrote a number of books and articles. One of his books, "Modeling, Measuring and Hedging Operational Risk" is a best seller in risk management.