Applied Statistics at the Quantitative Solutions (QS)
Department of Comerica Bank
Abstract

Mathematicians and statisticians in the QS department of Comerica Bankare responsible for modeling two risk types, and this colloquium talk will describe the general risk categories as defined by the international banking community that require statistical modeling, discuss which risk types QS is responsible for modeling, and give a general view of the modeling process accomplished by risk analysts toguide management through Comerica Bank’s risk profile. Topics will include brief discussions of the Loss Distribution Approach to model risk categories, Extreme Value Theory which examines the statistical behavior of extreme events, how Comerica risk modelers augment sparse tail data to enhance the modeling of tail events, stress testing, frequency dependency modeling of risk categories, a brief view of mathematical finance which is used in products purchased by the bank for portfolio management , and future research interests of risk modelers at Comerica Bank.

  
 
Thursday, January 27, 2011
3:00 – 4:00 P.M.
372 Science and Engineering Building

(Refreshments at 2:30-3:00 PM in the kitchen area adjacent to 368 SEB)