Presented by: John Jarratt, Head of Operational Risk Quantitative Analysis | National Australia Bank Limited

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Time: 5:30pm

Date: Tuesday 10 September 2013
Venue: Westpac Conference Centre, Plaza Level, 60 Martin Place, Sydney
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ABSTRACT

Operational risk modelling is a fast developing area of quantitative research globally in banks and this has been the case since operational risk capital requirements were first introduced in Basel II and associated regulatory standards. Several banks in Australia calculate capital for operational risk under the Advanced Measurement Approaches according to the standard APS 115, using their own models accredited by the regulator. This presentation will be a practitioner’s view of the features of operational risk capital models from both a mathematical and a business perspective, with particular emphasis on the challenges involved.

Sponsored by Westpac

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