Banking
2018 Operational Risk Research Conference
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.
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
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.
