Seminar 1, 12 June 2012, London

	Seminar 1: Understanding operational risk measurement
8:30	Registration and breakfast
9:00	Assessing risk: Credit agencies, Frameworks for risk capital, Failure prediction models, Causal analysis models, Scenario analysis, Score cards, Key indicator modelling Brendon Young, Visiting Professor, Birmingham City University Business School
10:30	Morning break
11:00	Data: Loss data collection, Data augmentation (data banks, simulation), Granularity (Basel & Solvency) Rodney Coleman, Department of Mathematics, IMPERIAL COLLEGE LONDON Brendon Young, Visiting Professor, Birmingham City University Business School
12:30	Lunch
1:30	Modelling loss data: For frequency, For severity, Extreme value models, Combining models, Incorporating external data, Marked point processes Rodney Coleman, Department of Mathematics, IMPERIAL COLLEGE LONDON
3:00	Afternoon break
3:30	Measuring operational risk: VaR, Mean shortfall, CVaR, Fitting and validating models, Re-sampling to reduce bias and standard error, Correlations (copulas) Rodney Coleman, Department of Mathematics, IMPERIAL COLLEGE LONDON
5:00	End ofworkshop

Speaker biography:

Rodney Coleman is an Honorary Senior Lecturer in Statistics in the Mathematics Department at Imperial College London, where he currently lectures on the theory of statistics. He he has taught at Imperial since receiving his PhD from Cambridge University.

His main interest in operational risk is with its quantification, in particular that loss data analysis is based on sound statistical principles and practice. Co-authored with Marcelo Cruz, his was the first published academic paper on applying statistical methods to model loss data for measuring operational risk.

In a long association with the Operational Risk Research Forum (ORRF) he has addressed its meetings at BaFin and the New York State Banking Department, as well as in London. He has given presentations at the FSA, the Cass-Capco Risk conference, Oprisk Europe, the Institute of Actuaries Actuarial Teaching and Research Conference, the Actuarial Studies in Non-Life Insurance UK meeting, and widely in academia including universities in Canada, Italy and Korea.

He is a founding fellow of the Institute of Operational Risk, and author of more than 50 publications. Recently he wrote the article on operational risk for the Wiley Encyclopedia of Operations Research and Management Science. His book, Operational Risk Assessment, written with Brendon Young, was published in 2009 by Wiley.

Brendon Young is recognized internationally as a leading expert in risk management. He is a Visiting Professor at Birmingham City University Business School. He is chairman of the ORRF Risk Research Forum and founding president of the Institute of Operational Risk. He has been an advisor to prominent financial institutions including the Financial Reporting Council Board of Actuarial Standards and Moody's Rating Agency. He has published papers and lectured widely, giving presentations at the FSA, the Bank of England, BaFin, the Dutch National Bank, the OCC, and the New York State Banking Department. Previously, he was director of Arthur Andersen's risk research centre. In academia, at Birmingham City University, he was business school associate dean, responsible for risk research and business development. His early career was in consultancy with Spicer & Pegler Deloitte and later in venture capital with Lazards. Initially, he trained in industry with Rolls-Royce aero-engines and Jaguar Cars, qualifying both as a chartered engineer and a chartered management accountant. In 2009, he co-authored a book with Dr. Rodney Coleman entitled 'Operational Risk Assessment - the commercial imperative of a more forensic and transparent approach', published by Wiley.