NISS Explorations Workshop -- Exploring Statistical Issues in Financial Risk Modeling and Banking Regulation

NISS EXPLORATION WORKSHOP

Exploring Statistical Issues in Financial Risk Modeling and
Banking Regulation
Focusing on Success in Modeling of Operational Risk and Credit Risk
Co-sponsored by NISS and the Office of the Comptroller of the Currency

Keynote Speaker:

Paul Embrechts, Professor of Mathematics, ETH, Zurich

Invited Speakers:

Emre Balta, Senior Financial Economist, Credit Risk Analysis Division, OCC
Patrick de Fontnouvelle, Vice President, Quantitative Analysis Unit, Federal Reserve Bank of Boston
Douglas Dwyer, Managing Director, Moody’s KMV
Katherine Ensor, Professor and Chair, Department of Statistics, Rice University
Dennis Glennon, Director, Credit Risk Analysis Division, OCC
David J. Hand, Chair and Professor of Statistics, Imperial College London
Michael Kalkbrener, Deutsche Bank
Nicholas Kiefer, Professor of Economics, Cornell University, and Senior Advisor, Enterprise Risk Analysis Division, OCC
John Liechty, Associate Professor of Statistics, Pennsylvania State University
Don McLeish, Professor of Statistics and Actuarial Science ,University of Waterloo
Min Qi, Senior Financial Economist, Credit Risk Analysis Division, OCC

Agenda
(PDF version)

Thursday, February 5, 2009

8:15 Registration and Continental Breakfast
8:45 Welcome	Alan F. Karr, NISS and UNC-CH Mark Levonian, OCC
9:00 Keynote Address Statistics and Quantitative Risk Management	Paul Embrechts
9:45 Operational Risk - Part 1 Regulator's Point of View	Emre Balta Patrick de Fontnouvelle
10:30 Break
11:00 Operational Risk - Part 2 LDA at Work: Deutsche Bank's Approach to Quantifying Operational Risk	Michael Kalkbrener
11:45 Statistical View of Financial Risk	David Hand
12:30 Lunch
1:30 Perspectives on Modeling Credit Risk Discussion of Credit Risk Issues Regulator's Point of View The Role of the "PD" in Today's Banking System	Moderator: Nicholas Kiefer Dennis Glennon Douglas Dwyer
3:00 Break
3:30 Statistical View of Credit Risk Overview of Statistical Issues	Don McLeish
4:15 Panel Discussion - Impact on Issues for Model Validation Econometrics — Banking Regulation and Banking Industry — Statistics	Moderator: John Dobelman Nicholas Kiefer Min Qi John Liechty Katherine Ensor
5:15 Discussion of Friday's Agenda
5:20 Adjourn


Friday, February 6, 2009 (by pre-registration only)

8:30 Continental Breakfast
9:00 Speakers' Round Table: Synthesis and Directions
10:15 Charge to Writing Groups (1=Overview, 2&3= Problems in Operational Risk, 4&5=Credit Risk Modeling Problems, 6=Model Validation Optimization)
10:30 Break
10:45 White Paper Drafting Groups
12:30 Lunch
3:00 Break
3:30 Group Progress Presentations
4:30 Adjourn