March 13, New York

WORKSHOP 1: Future of operational risk modelling post AMA

Sessions led by:
Marco Migueis
, Banking Supervision and Regulation -
Quantitative Risk, FEDERAL RESERVE BOARD GOVERNORS
Robert Stewart, Economist, FEDERAL RESERVE BANK OF CHICAGO
Diane R. Maurice, Techncial Advisor- Office of Technical Assistance - International Banking, US DEPARTMENT OF TREASURY
Ruben D Cohen, Independent Consultant

PROGRAM

8:30 Registration and breakfast

9:00 A Theory of Operational Risk

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

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

12:30 Lunch

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

3:00 Afternoon break and refreshments

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

4:30 End of workshop

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