Operational Risk Modelling and Analysis

SECTION 1 - DATABASE MODELLING, REGULATORY AND TECHNOLOGY ISSUES

Introduction

Marcelo Cruz

RiskMaths

1 Operational Risk - Management Based on the Current Loss Data Situation

Agatha Kalhoff; Marcus Haas

BII; University of Frankfurt

2 Tackling the Insufficiency of Loss Data for the Quantification of Operational Risk

Marcus Haas; Thomas Kaiser

University of Frankfurt; KPMG

3 Contract Management and Operational Risk

Kristiina Vares

Swedish School of Economics and Business Administration

4 Basel II and Operational Risk - An Overview

Carolyn V. Currie

University of Technology, Sydney

5 Implementing Operational Risk Solutions

Deborah Williams

Financial Insights

SECTION 2 - RISK MODELLING AND MEASUREMENT

Introduction

Marcelo Cruz

RiskMaths

6 Integration of Qualitative and Quantitative Operational Risk Data: A BayesianApproach

Paolo Giudici

University of Pavia

7 Stable Modelling of Operational Risk

Anna Chernobai, Svetlozar Rachev

University of California

8 Towards Operational Risk Management

Kaj Nyström, Jimmy Skoglund

Swedbank

9 A Copula-Extreme Value Theory Approach for Modelling Operational Risk

Annalisa Di Clemente; Claudio Romano

University of Rome; Capitalia Bank Holding

10 Cyclicality in the Catastrophic Risk of Financial Institutions

Linda Allen, Turan G. Bali, Yi Tang

Zicklin School of Business

11 Using Stratified Sampling Methods to Improve Percentile Estimates in the Context of Risk Measurement

Neil Hereford, Geoffrey Shuetrim

KPMG

12 Adequate Capital and Stress Testing for Operational Risks

Reimer Kühn; Peter Neu

King’s College London; Dresdner Bank AG

SECTION 3 - CASE STUDIES OF IMPLEMENTATION OF OPERATIONAL RISK PROJECTS IN LARGE FINANCIAL INSTITUTIONS

Introduction

Marcelo Cruz

RiskMaths

13 The JPMorganChase Operational Risk Environment

JPMorgan Chase

14 Overall Large Bank Operational Risk Framework

Duncan Fairley, David McCall

HBOS

15 Implementing an Integrated Operational Risk Framework

Sok Hui Chng, Him Chuan Lim

DBS Group 

Marcelo Cruz

Marcelo Cruz is an adjunct professor at New York University and a senior risk consultant. Formerly he was the group chief risk officer of Aviva, the UK’s largest insurer and asset manager. Previously Marcelo was global head of operational risk analytics and quantitative risk analytics at Lehman Brothers and was the managing director and founder of RiskMaths, a boutique consultancy focused on risk management and more specifically operational risk. He also previously worked at UBS AG for three years as head of operational risk. Before UBS Marcelo worked as a chief economist/strategist for an investment bank and as a derivatives trader (fixed income) for JP Morgan, where he was involved in structuring, managing and trading fixed income derivatives. Marcelo wrote one of the best selling books in risk management (“Modeling, Measuring and Hedging Operational Risk, Wiley 2002), and has written and edited other books in risk management. He is the founder editor-in-chief of The Journal of Operational Risk and sits on the board of other publications. Marcelo was also part of the GARP Board of Trustees. He holds a PhD in Mathematics from the Imperial College in London, a MSc in Financial Mathematics, an MBA and a BSc in Economics.