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Abstract - #305909
Title: Practical Challenges in Operational Risk Modeling: A Regulator's Point of View
Author(s): Emre Balta*+
Companies: Office of the Comptroller of the Currency (OCC)
Address: Risk Analysis Division, Washington, 20019,
Keywords:
Abstract:

In February 2009, the Office of the Comptroller of the Currency (OCC) and the National Institute of Statistical Sciences (NISS) organized a workshop on "Statistical Issues in Financial Risk Modeling and Banking Regulation". The main objective of the workshop was to disseminate practical challenges faced in quantitative risk management to the academic community in general, and statistics community in particular. This presentation highlights a selected list of challenges/open issues in operational risk modeling, particularly with respect to high tail estimation and tail dependence.

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Revised September, 2008