Roberto since December 2018 is Chief Risk Officer of Banca Carige where he was previously Head of Risk Management.Roberto’s other experiences in quantitative risk management were in Banca IMI in market risk and in Banco BPM in operational and credit risk.Specifically, we explain why the difficulties in conducting back testing owing to data availability and we show how it may be possible to secure relatively robustness of operational risk measurement with statistical testing.
Finally, we discuss practical issues related to management, control and reporting of OP risk.
was set up in 2011 by Patrick Kelliher, an actuary with extensive experience in risk management gained from working with Scottish Widows (part of Lloyds Banking Group), Aegon UK and contract roles.
Jan-Philipp Hoffmann was studying mathematics and economics at University of Göttingen and received his Ph D in mathematics in 2004.
Afterwards he joined the pricing model validation and market risk methodology team at LBBW.
Miriam Bohnacker is a Senior Consultant at Management Solutions with focus on the Model Risk Management domain. double degree in International Management at the ESB Business School, Reutlingen, and at the Universidad Pontificia Comillas, Madrid.
During her career at Management Solutions, she has participated in the assessment and implementation of MRM frameworks at several European D-SIBs and G-SIBs, as well as in model-related assignments at the European Central Bank. Markus Oldenburg works as a senior expert for Model Validation at Deka Bank, where he is involved in validating pricing and risk models.
His responsibilities include model monitoring and model risk management.
He has a long standing experience in financial risk management and previously held a position as Desk Controller for equity and interest rate trading desks.
We then explain how operational risk can be modeled using internal and external loss data, self-assessments and other techniques.