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Capital Modeling in Operational Risk - 3 July Attend live in London or join the online webcast Fitch Learning, The Corn Exchange, 55 Mark Lane, London, EC3R 7NE
The notion of operational risk is a relative newcomer to the banking industry. Conceptualized not more than 20 years ago, it is considered to be the least understood in comparison to the other major risk types and, subsequently, proven much more difficult to model.
This talk will formally define operational risk, explaining the roles that the banking supervisors and local regulators play in classifying and quantifying it. Ruben will discuss the major challenges that are experienced when trying to model it.
Ruben will also cover the various modeling techniques that are used to compute operational risk capital. These include the simple Standardized Approach (TSA), the failed Advanced Measurement Approach (AMA) and the highly controversial Standardized Measurement Approach (SMA). Lastly, an alternative approach to modeling operational risk will be presented. It is based on the method of dimensional analysis and similitude and could help get around many of the challenges posed buy the current modeling practices.
Speaker Bio Ruben Cohen is an independent consultant with over 17 years' experience in the financial industry. Most the last 10 years has been spent in operational risk analytics at Citi and more recently in model risk at BAML.
Prior to this, Ruben spent 10 years in the faculty of Mechanical Engineering & Materials Science at Rice University, Houston, specializing in Fluid Mechanics and Thermodynamics. He holds a PhD in Mechanical Engineering from M.I.T. and has subsequently obtained an M.A. in Economics from McGill University.
Based in London, Ruben has published over 50 papers in areas such as engineering, physics, economics and finance.
This is a free talk, availability is limited.
Terms and Conditions This event is being organised by the CQF Institute (part of Fitch 7city Learning) in conjunction with Wiley. While we will make every effort to deliver the event, we reserve the right to change or cancel the published event date due to unforeseen circumstances. By registering for the live event you agree to any photography and video that may take place. If you wish to opt out, please contact the CQF Institute at CQFInstitute@fitchlearning.com For full details of the terms and conditions, please visit http://www.cqfinstitute.org/content/website-terms-conditions-use-and-privacy-statement
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