Operational Risk: Models, Methods and Best Practices
UTS-CSIRO workshop on
"Operational Risk:Models, Methods and Best Practices"
The workshop will be presented by:
Dr. Bakhodir Ergashev (Federal Reserve Bank of Richmond, USA) is a Lead Financial Economist at The Federal Reserve Bank of Richmond, Charlotte Branch, USA. His research interests include financial risk quantification and Bayesian inference, operational risk and stress testing risk models. Bakhodir has PhD in Statistics (Steklov Institute of Mathematics, 1992) and PhD in Economics (Washington University, 2006);
Dr. Pavel Shevchenko (CSIRO, Australia) is a Principal Research Scientist in the Division of Mathematics, Informatics and Statistics of CSIRO, and Adjunct Professor at UTS. He received PhD from the University of New South Wales in 1999 in Theoretical Physics. Pavel recently published the book “Modelling Operational Risk Using Bayesian Inference”, Springer, 2011
Details of the workshop are as follows:
· Time: 2:00pm – 6:30pm, Tuesday, December 4, 2012
· Location: Room 01.16.11. Room 11, Level 16, UTS Tower Building, 15 Broadway, Sydney
· Full Registration fee: $560 (a discount of $100 applies to registrations taken by Tuesday, November 20, 2012)
Non-UTS academics are entitled to receive a 50% discount of Full Registration fee.
Non-UTS students are entitled to receive a 75% discount of Full Registration fee.
For UTS academics and CSIRO members there will be a special arrangement.
Before payment select your discount type (early bird, academic or student). Note when entering organisation name, click the New Organisation Name button (if the form rejects you entry). Please, kindly send your registration approval message issued by the registration system (without banking details) to Ms Jing Dong, (Jing.Dong@uts.edu.au). UTS academics and UTS students should send their request for the registration directly to Ms Jing Dong.
Abstract. The management of operational risk in the banking industry has undergone explosive changes over the last decade due to substantial changes in the operational environment. In response, the Basel Committee on Banking Supervision has developed a new regulatory framework for capital measurement and standards for the banking sector. Many banks are undertaking quantitative modelling of operational risk using the Loss Distribution Approach (LDA) based on statistical quantification of the frequency and severity of operational risk losses. There are a number of unresolved methodological challenges in the LDA implementation. This workshop is devoted to quantitative issues in LDA, modelling large losses and other important issues in study of Operational Risk. The workshop is aimed at practitioners in risk management, academic researchers in financial mathematics, banking industry regulators and advanced graduate students in the area.
· Loss Distribution Approach (LDA): frequency/severity, models, heterogeneity
· Modelling large losses: EVT, heavy tailed distributions, single loss approximation
· Estimation: maximum likelihood approach, method of moments; Bayesian, MCMC, EM.
· Combining data and scenario analysis: Bayesian approach, p-boxes, credibility
· Numerical methods for Aggregation of risks: MC, FFT, Panjer recursion
· Capital allocation: Euler allocation, marginal allocations
The workshop will be followed by drinks from 6.30pm