Keynote Speaker:
Paul Embrechts, Professor of Mathematics, ETH, Zurich
Invited Speakers:
Emre Balta, Senior Financial Economist, Credit Risk Analysis Division, OCC
Patrick de Fontnouvelle, Vice President, Quantitative Analysis Unit, Federal Reserve Bank of Boston
Douglas Dwyer, Managing Director, Moody's KMV
Katherine Ensor, Professor and Chair, Department of Statistics, Rice University
Dennis Glennon, Director, Credit Risk Analysis Division, OCC
David J. Hand, Chair and Professor of Statistics, Imperial College London
Michael Kalkbrener, Deutsche Bank
Nicholas Kiefer, Professor of Economics, Cornell University, and Senior Advisor, Enterprise Risk Analysis Division, OCC
John Liechty, Associate Professor of Statistics, Pennsylvania State University
Don McLeish, Professor of Statistics and Actuarial Science ,University of Waterloo
Min Qi, Senior Financial Economist, Credit Risk Analysis Division, OCC
White Paper: "Mapping Out the Challenges: Operational Risk - Modeling the Extreme"
Authors: Emre Balta (Office of the Comptroller of the Currency), Santiago Carrillo MenÈndez (Universidad Autonoma de Madrid), Patrick de Fontnouvelle (Federal Reserve Bank of Boston), Paul Embrechts (ETH Zurich), Bakhodir Ergashev (Federal Reserve Bank of Richmond), Kam Hamidieh (Rice University), Nicholas M. Kiefer (Cornell University and Office of the Comptroller of the Currency), Ken Swenson (Federal Reserve Bank of Chicago)
DISCLAIMER: The views expressed in this paper are solely those of the authors and do not reflect official positions of the Office of the Comptroller of the Currency, the Federal Reserve Bank of Boston, the Federal Reserve Bank of Chicago, the Federal Reserve Bank of Richmond, the Federal Reserve System, or the National Institute of Statistical Sciences.
AGENDA
Thursday, February 5, 2009
8:15 Registration and Continental Breakfast
8:45 Welcome Alan F. Karr, NISS and UNC-CH
Mark Levonian, OCC
9:00 Keynote Address
Statistics and Quantitative Risk Management
Paul Embrechts
9:45 Operational Risk - Part 1
Regulator's Point of View
Emre Balta
Patrick de Fontnouvelle
10:30 Break
11:00 Operational Risk - Part 2
LDA at Work:Deutsche Bank's Approach to Quantifying Operational Risk
Michael Kalkbrener
11:45 Statistical View of Financial Risk
David Hand
12:30 Lunch
1:30 Perspectives on Modeling Credit Risk
Discussion of Credit Risk Issues , Nicholas Kiefer
Regulator's Point of View , Dennis Glennon
The Role of the "PD" in Today's Banking System , Douglas Dwyer
3:00 Break
3:30 Statistical View of Credit Risk
Overview of Statistical Issues, Don McLeish
4:15 Panel Discussion - Impact on Issues for Model Validation
Econometrics - Banking Regulation and Banking Industry - Statistics
Moderator: John Dobelman
Nicholas Kiefer
Min Qi
John Liechty
Katherine Ensor
5:15 Discussion of Friday's Agenda
5:20 Adjourn
Friday, February 6, 2009 (by pre-registration only)
8:30 Continental Breakfast
9:00 Speakers' Round Table: Synthesis and Directions
10:15 Charge to Writing Groups "Mapping Out the Challenges"
(1=Overview, 2&3= Problems in Operational Risk, 4&5=Credit Risk Modeling Problems, 6=Model Validation Optimization)
10:30 Break
10:45 Writing Groups
12:30 Lunch
3:00 Break
3:30 Group Progress Presentations
4:30 Adjourn