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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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Mailing List : To receive
updates on the program please subscribe to our mailing list at www.fields.utoronto.ca/maillist
Overview
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.
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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