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SUMMARY:A capital charge for operational risk: utopia or not - Professor P
 . Embrechts (ETH\, Zurich)
DTSTART:20070206T170000Z
DTEND:20070206T180000Z
UID:TALK6453@talks.cam.ac.uk
CONTACT:4993
DESCRIPTION:Due to the Basel II guidelines for Banking and Solvency 2 for 
 Insurance\, larger financial institutions are faced with the Pillar 1 calc
 ulation of regulatory capital for operational risk. For the banking indust
 ry this runs under the so-called Loss Distribution Approach.\n\nIn this ta
 lk I will review some of the LDA methods used in industry\, point out thei
 r strengths and weaknesses and discuss possibilities for achieving a relia
 ble LDA. Though my talk will very much touch upon applied issues underlyin
 g the quantitative modelling of operational risk\, I will also highlight s
 ome of the more mathematical/methodological issues underlying the construc
 tion of appropriate risk measures.\n\nReferences:\n# A.J. McNeil\, R.Frey 
 and P.Embrechts\, _Quantitative Risk Management: Concepts\, Techniques and
  Tools_\, Princeton University Press (2005).\n# See several papers/preprin
 ts on my website www.math.ethz.ch/~embrechts
LOCATION:Wolfson Room (MR 2) Centre for Mathematical Sciences\, Wilberforc
 e Road\, Cambridge
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