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2018 Operational Risk Research Conference

papers

Organizer: Quantitative Supervision & Research, Federal Reserve Bank of Richmond

When: Tuesday, July 24th, 2018

Where: Federal Reserve Bank of Richmond, Charlotte Branch,  530 E Trade St, Charlotte, NC 28202

Scope

The goal of the conference is to provide a forum for researchers, modelers and regulatory agencies’ staff to discuss topics, methodologies, and challenges regarding operational risk related modeling.

Purpose

To support operational risk related research, and to provide an opportunity for researchers to present and consider the latest thinking in the field, the Quantitative Supervision & Research unit of Supervision, Regulation and Credit at Federal Reserve Bank of Richmond will hold the Operational Risk Research Conference on Tuesday, July 24th, 2018 at the Charlotte Branch of the Federal Reserve Bank of Richmond.

Conference Invitations

Attendance at the conference is by invitation only and capacity is limited. Those interested in attending may request invitations by emailing Jonathan.Newell@rich.frb.org.

Agenda

8:40 to 8:45 Welcoming Remarks by Patrick de Fontnouvelle, Federal Reserve Bank of Boston

8:45 to 9:30 Operational Risk and Reputation in Financial Institutions: Does Media Tone Make a Difference?

Authors: Ahmed Barakat, University of Nottingham 
Simon Ashby*, Plymouth University
Paul Fenn, University of Nottingham
Cormac Bryce, University of Nottingham 

Discussion by Brian Clark, Rensselaer Polytechnic Institute & OCC

9:30 to 10:15 All Bank Risks are Idiosyncratic, Until They are Not: The Case of Operational Risk 

Authors: Allen Berger, University of South Carolina 
Filippo Curti*, Federal Reserve Bank of Richmond 
Atanas Mihov, Federal Reserve Bank of Richmond 
John Sedunov, Villanova University

Discussion by Anna Chernobai, Syracuse University Polytechnic Institute & OCC

10:15 to 10:30 Break

10:30 to 11:15 Operational Risk Management: Preventive vs. Corrective Control

Authors Michael Pinedo, New York University 
Yuqian Xu*, University of Illinois at Urbana-Champaign 
Lingjiong Zhu, Florida State University

Discussion by Filippo Curti, Federal Reserve Bank of Richmond

11:15 to 12:00 Business Complexity and Risk Management: Evidence from Operational Risk Events in U.S. Bank Holding Companies

Authors: Anna Chernobai, Syracuse University 
Ali Ozdagli*, Federal Reserve Bank of Boston 
Jianlin Wang, University of California at Berkeley

Discussion by Sean Hundtofte, Federal Reserve Bank of New York

12:00 to 1:00 Lunch

12:15 to 12:45 Operational risk measurement: At the crossroads by Eric Cope, Credit Suisse

1:00 to 1:35 Forward-looking and Incentive-compatible Operational Risk Capital Framework by Marco Migueis, Federal Reserve Board

1:30 to 2:10 A Pilot Experiment on Peer Structured Scenario Assessment by Laurent Condamin, Elseware

2:00 to 2:45 Regression Model for the Impact of a Data Breach for a Financial Institution” by Thomas Lee, VivoSecurity

2:45 to 3:00 Break

3:00 to 3:45 Anonymous Capital Flows and U.S. Housing Markets

Authors: Sean Hundtofte*, Federal Reserve Bank of New York 
Ville Rantala, University of Miami 

Discussion by Ali Ozdagli, Federal Reserve Bank of Boston

3:00 to 3:45 Risk Shifting and Regulatory Arbitrage: Evidence from Operational Risk 

Authors: Brian Clark*, Rensselaer Polytechnic Institute & OCC 
Alireza Ebrahim, OCC

Discussion by Yuqian Xu, University of Illinois at Urbana-Champaign

*Presenting author

 

Organizing Committee

  • Azamat Abdymomunov, Federal Reserve Bank of Richmond
  • Gara Afonso, Federal Reserve Bank of New York
  • Brian Clark, Rensselaer Polytechnic Institute & OCC
  • Filippo Curti, Federal Reserve Bank of Richmond
  • Patrick de Fontnouvelle, Federal Reserve Bank of Boston
  • Atanas Mihov, Federal Reserve Bank of Richmond
 

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