Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach

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Date/Time
Date(s) - Thursday, April 25, 2013
4:00 pm

Location
BBA

Category(ies)


The Institute of Operational Risk is delighted to invite its members to an evening seminar on Thursday, April 25th from 16:00 to 17:30, followed by drinks, generously sponsored by Wolters Kluwer Financial Services

Use of the scenario analysis in operational risk is an important component of risk management and measurement. The presenter, Dr. Kabir Dutta, will show how, through the use of the change of measure method, a commonly used technique in financial and insurance economics, one can model scenario data in operational risk measurements. The talk will focus not only on the modeling aspects of scenario data but also on the economic rationality of the method and the role of the scenario analysis and stress testing in an AMA framework. The discussion will be based on: Dutta Kabir and D. Babbel, “Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach” Working paper, Financial Institution Center, The Wharton School, University of Pennsylvania 2010, also forthcoming in the Journal of Risk and Insurance.

Dr. Kabir Dutta is a senior consultant in the Finance practice of Charles River Associates with over 20 years experience in management of market, interest rate, and operational risk across various industries such as telecommunication, energy, exploration and production, and financial services. Prior to joining CRA, Dr. Dutta was a senior economist at the Federal Reserve Bank of Boston, where he led securitization and risk reviews at several major U.S. banks. His research has been presented at many national and international conferences. Prior to that, Dr. Dutta held a number of roles, including senior consultant in the Securities Practice Group of National Economic Research Associates (NERA), where he consulted on cases involving the use of options for market manipulation, the valuation of derivatives, insurance annuities, breach of energy-related contracts, and risk management related to energy and other industries. Dr. Dutta holds an MBA and Ph.D. from the Wharton School of the University of Pennsylvania.

The event is free to IOR members. There will be a £50 charge to non-members.

It is anticipated that this will be a popular seminar and there are a limited number of spaces therefore you are encouraged to register as soon as possible. Please click here to download a booking form.

We look forward to welcoming you on April 25th!

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