A Discussion of the “Big Three” -- Operational Risk, Market Risk and Credit Risk

Mathematicians and statisticians in the Quantitative Solutions department of Comerica Bank are in the process of updating elicitation methodologies to obtain business line expert opinion and calibrate that expert opinion with respect to confidence classifications from the elicitation literature.  Calibration methodologies, including support theory, are considered that organize, classify and estimate various aspects of expert opinion.  These efforts are included in the calculation of operational risk economic capital.  A brief discussion of the operational risk econometric stress testing is also examined. 

On the market risk side, organizing principles are presented which include the Law of Large Numbers, expected value, and the time value of money that lead to a conclusion which supports Brownian Motion as a model for market risk, and credit risk is presented as a call option which obtains a distance to default that is a mainstay of modern commercial banking risk management.

Tuesday, April 9, 2013

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)