Seminar 3, 15 June 2012, London

	Seminar 3: State of the art operational risk measurement Alessandro Nardi, Head of Pillar II and Operational Risk Validation Unit, UNICREDIT Vittorio Vecchione, Head of Pillar II Risks Validation, UNICREDIT
8:30	Registration and breakfast
9:00	Modelling operational risk data
10:30	Morning break
11:00	Developing a risk sensitive VaR
12:30	Lunch
1:30	The allocation of operational risk capital
3:00	Afternoon break
3:30	Validation of Operational Risk
5:00	End of workshop

Speaker biography:

Alessandro Nardi is Head of the "Pillar II and Operational Risk Validation" Unit in Unicredit. In this position he coordinates the teams in charge of the validation of internal measurement, control and management systems adopted by UniCredit Group for the assessment of capital adequacy and for the quantification of operational risk minimum capital requirements.

He has a broad knowledge of risk management and control in banks, gained over his previous experiences in other major Italian banks (Monte dei Paschi di Siena and former Capitalia) as internal auditor on finance and risk management and as operational risk model developer. He holds a Master in Banking and Economics from University "Richard M. Goodwin" of Siena and in 2002 obtained the certification as "Financial Risk Manager" from the Global Association of Risk Professionals (GARP).

Vittorio Vecchione is Head of the "Pillar II Risks Validation" Unit in Unicredit. He is in charge of the validation of quantitative measurement methodologies (Credit Portfolio Model and Stress Testing among others). Moreover he is in charge of the Validation of the AMA Pillar I model for Operational Risk. Formerly he has worked for six years for Deloitte Consulting as a manager in charge of several projects with either Italian and international banks regarding Operational, Credit and Pillar II risks. In 2011 he has been awarded by "Operational Risk & Regulation" of the "Paper of the year" award assigned to "Combining operational loss data with expert opinions through advanced credibility theory" paper. He holds a PhD in Actuarial from University "La Sapienza" in Rome.