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Achieving High-Performing, Simulation-Based Operational Risk Measurement with RevoScaleR


Presentation Agenda:

Basel II Overview

  • Operational Risk –Definition
  • Requirements of an Operational Risk Exposure Estimate

Loss Distribution Approach (LDA)

  • Segmenting Loss Data into Units of Measure
  • Literature on Frequency and Severity Modeling
  • Monte Carlo Simulation within an LDA based Operational Risk Exposure Model

Potential solutions for faster Monte Carlo Simulation

  • Description of the test environments utilized
  • Results from various methods of enhancement

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