May 30, 2024

Thematic Program on Quantitative Finance: Foundations and Applications January - June, 2010

March 26-27, 2010
Industrial-Academic Forum on Operational Risk

Organizer: S. Carrillo Menendez (U.A.M.)

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The use of an extreme quantile specified by Basel II makes minimum capital requirements one of the few areas with a significant and explicit reliance on statistics. The Industrial-Academic Forum on Operational Risk aims to put together researchers and specialists from industry to discuss hot topics in operational risk measurement.

Speakers (talk titles and abstracts)

Emre Balta, Office of the Comptroller of the Currency (OCC)
Eric Cope, IBM Research, Zurich
Mathias Degen, Cornell University, Ithaca NY
Kabir Dutta, Charles River Associates
Joerg Fritscher,
Deutsche Bank
Elise Gourier
, Swiss Banking Institute, University of Zurich
Giulio Mignola, Intesa Sanpaolo
Martin Neil, Queen Mary University, London
Tony Peccia, Citi group, CRO Citibank Canada
Beatriz Santa Cruz Blanco, BBVA; Metodologías de riesgo corporativo
Anupam Sahay, KeyCorp, Director Risk Models & Operational Risk, Risk Management
Alberto Suarez, RiskLab Madrid and Escuela Politécnica Superior, Universidad Autónoma de Madrid
John Walter
, Bank of America, SVP & Manager of the Risk Capital & Portfolio Analysis


Tentative Schedule

Friday March 26, 2010
8:50 - 9:00 Welcome and Introduction
Fields Director Ed Bierstone
9:00 - 9:50 Matthias Degen (Cornell University)
Diversification benefits: a second-order approximation
10:00 - 10:50 Emre Balta (Office of the Comptroller of the Currency, OCC)
The Known, the Unknown, and the Unknowable: Challenges in Validating AMA Models
11:00 - 11:30 Coffee Break
11:30 -12:20 Giulio Mignola (Intesa Sanpaolo)
Challenges in measuring operational risks from loss data
12:20 - 2:00 Lunch Break
2:00 - 2:50 Elise Gourier(Swiss Banking Institute, University of Zurich)
Operational risk quantification using extreme value theory and copulas: from theory to practice
3:00 - 3:50 Kabir Dutta (Charles River Associates)
On Using Scenario Analysis in The Measurement of Operational Risk: A Systematic Approach for Data Integration
4:00 - 4:50 Joerg Fritscher (Deutsche Bank)
Stabilizing the calculation of expected shortfall contributions using conditional Monte Carlo methods
5:00 - 5:50 John Walter (Bank of America)
6:00 - 7:00 Round Table: Emre Balta, Kabir Dutta, Giulio Mignola, Matthias Degen
Moderator: S. Carrillo
Saturday March 27, 2010
9:00 - 9:50 Tony Peccia (Citi group)
Rethinking Basel II for Operational Risk
10:00 - 10:50 Eric Cope (IBM Research, Zurich)
Penalized Likelihood Estimators for Truncated Data
11:00 - 11:30 Coffee Break
11:30 - 12:20 Anupam Sahay (Key corp)
Analytic Approximations for Operational Risk Capital
12:20 - 2:00 Lunch Break
2:00 - 2:50 Beatriz Santa Cruz Blanco (BBVA)
Issues in Modelling Tails in Operational Risk
3:00 - 3:50 Alberto Suarez (Universidad Autónoma de Madrid)
Robust quantification of the exposure to operational risk: Bringing economic sense to economic capital
4:00 - 4:50 Martin Neil (Queen Mary University, London)
Using Hybrid Dynamic Bayesian Networks to model Operational Risk in Finance

Confirmed Participants as of April 1, 2010

Full Name University/Affiliation
Austin, Mark RBC
Balta, Emre Office of the Comptroller of the Currency
Beekmann, Frank Deutsche Postbank
Carrillo Menéndez, Santiago Dept of Math, Universidad Autónoma de Madrid
Chang, Fang York University
Cope, Eric IBM Zurich Research Lab
Degen, Matthias Cornell University
Delasey, Matthew Commonwealth Bank of Australia
Dutta, Kabir Charles River Associates
Fan, Yuntian TD Bank
Fritscher, Joerg Deutsche Bank
Girones Sola, Enric University of Toronto
Gourier, Elise University of Zurich
Grasselli, Matheus McMaster University
Guo, Philip York University
Hristoskov, James University of Toronto
Huang, Lee Bank of Montreal
Hurd, Tom McMaster University
Jesuthasan, Roshan Ryerson University
Kapchinsky, Michael Toronto Dominion Bank
Kay, Jeffery RBC
Kulik, Rafal University of Ottawa
Li, Sebastian University of Toronto
MacLean, Garrett CIBC
Manti, Michael State Street Corp
Mignola, Giulio Intesa-Sanpaolo
Neil, Martin Queen Mary, University of London
Niu, Shilei University of Waterloo
Norouzian, Naser Bank of Montreal
Olivares, Pablo Ryerson University
Padayachee, Krishna Aviva Canada
Peccia, Tony Citigroup
Peng, Xianhua Columbia University
Qiao, Yun (Carrie) York University
Quintanilla, Maria Ryerson University
Richardson, Andrew BMO
Sahay, Anupam KeyCorp
Salisbury, Thomas York University
Santa-Cruz Blanco, Beatriz BBVA - Tecnología y Metodologías
Santander, Rafa Wells Fargo & Co.
Sokolovic, Zeljko TDBFG
Soulier, Philippe University Paris X
Suárez, Alberto RiskLab Madrid and Escuela Politécnica Superior, Universidad Autónoma de Madrid
Tsui, Lung Kwan University of Pittsburgh
Vyushin, Dmitry Scotiabank
Walter, John Bank of America
Xia, Feng TD Bank Financial Group
Zhang, Jason BMO


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