Speaker: Guido Maggio, Statistical Consultant, Insightful Corporation
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Basel II is promoting the implementation of the Advanced Measurement Approach to tackle Operational Risk among banks. An internal model that meets the requirements can generate higher precision and lower Value at Risk. Quantitative information from past losses as well as a qualitative source must be taken into account. The analysis of severities, through Extreme Value Theory is combined to the analysis of frequencies, and a convolution is used to derive the VaR. In this talk, an interesting method to determine the EVT threshold in an automated way will be shown. We will also present an implementation of AMA using Insightful tools: IMINER, S-PLUS, S+FinMetrics and EnvStats; we propose a stable application of EVT and a scenario analysis. In addition, you will also see a solution on how to derive a qualitative VaR from Managers' information that meets Basel II requirements.
Mr Guido Maggio joined Insightful AG in Zurich as a Statistical Consultant. He has an MSc in Social Statistics and a degree in Economic Statistics. His main topics of research have been Variance Estimation, accounting for missing data, and poverty dynamics. He has worked in Italy for MPS Bank in the Operational Risk Department, where he successfully developed an application of the AMA. He has also worked in London for a Mortgage Lender, Platform Home Loans, as well as in Credit Risk and for the University of Birkbeck where he was evaluating governmental projects.
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