Abstract Details
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Activity Number:
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344
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Type:
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Topic Contributed
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Date/Time:
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Tuesday, August 6, 2013 : 10:30 AM to 12:20 PM
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Sponsor:
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Section for Statistical Programmers and Analysts
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| Abstract - #310375 |
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Title:
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Statistics in Operational Risks
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Author(s):
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Colin Chen*+
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Companies:
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Bank of America Merrill Lynch
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Keywords:
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Advanced measurement approach ;
Frequency modeling ;
Severity modeling ;
Dependency Analysis
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Abstract:
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Operational Risks become more and more crucial for financial and other industries. Different from credit and market risks, modeling operational risks often involves with extreme values, heavy tails, and truncated/clustered loss data and thus statistics plays an essential role in modeling operational risks. In this talk, I will review the statistical methodologies popularly used in modeling operational risks. I will focus on the Advanced Measurement Approach (AMA) model, which has been one of the most useful models for operational losses. Starting from the operational loss classification, I will cover Frequency modeling, Severity modeling, Dependency modeling, and Loss Aggregation. Scenario Analysis, Sensitivity analysis, as well as Stress Testing for operational risks will also be briefly reviewed.
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Authors who are presenting talks have a * after their name.
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