A capital charge for operational risk: utopia or not

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• Professor P. Embrechts (ETH, Zurich)
• Tuesday 06 February 2007, 17:00-18:00
• Wolfson Room (MR 2) Centre for Mathematical Sciences, Wilberforce Road, Cambridge.

If you have a question about this talk, please contact helen.

Due to the Basel II guidelines for Banking and Solvency 2 for Insurance, larger financial institutions are faced with the Pillar 1 calculation of regulatory capital for operational risk. For the banking industry this runs under the so-called Loss Distribution Approach.

In this talk I will review some of the LDA methods used in industry, point out their strengths and weaknesses and discuss possibilities for achieving a reliable LDA . Though my talk will very much touch upon applied issues underlying the quantitative modelling of operational risk, I will also highlight some of the more mathematical/methodological issues underlying the construction of appropriate risk measures.

References:

1. A.J. McNeil, R.Frey and P.Embrechts, Quantitative Risk Management: Concepts, Techniques and Tools, Princeton University Press (2005).
2. See several papers/preprints on my website www.math.ethz.ch/~embrechts

This talk is part of the Kuwait Foundation Lectures series.

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