Operational Value at Risk is estimated using an Advanced Measurement Approach involving statistical modeling of operational risk loss data. Loss severity and frequency are each modeled separately using distributions like lognormal or Poisson. Monte Carlo simulation is then used to aggregate the severity and frequency distributions and estimate unexpected losses, expected losses, and the capital at risk needed to sustain operational losses exceeding expectations.
General motors straddle volatility strategyKaran Shah
Created a long volatility, neutral strategy (vega >0; delta= 0). suggested investment was for an
endowment fund so have considered carefully the levels of risk involved. Justified choice by considering the following factors: (i) the short duration of the strategy; (ii) current
market conditions (levels of the VIX, for example); (iii) historic volatility
of your asset and its current implied volatility; (iv) bid-ask spread and
liquidity of the relevant options, etc.
Graphed the expected profit/loss for our strategy for various choices of X,
assuming the stock price does not change and Implied Volatility changes by +/- 3%.
SPICE MODEL of SSM3K126TU (Professional+BDP Model) in SPICE PARKTsuyoshi Horigome
SPICE MODEL of SSM3K126TU (Professional+BDP Model) in SPICE PARK. English Version is http://www.spicepark.net. Japanese Version is http://www.spicepark.com by Bee Technologies.
General motors straddle volatility strategyKaran Shah
Created a long volatility, neutral strategy (vega >0; delta= 0). suggested investment was for an
endowment fund so have considered carefully the levels of risk involved. Justified choice by considering the following factors: (i) the short duration of the strategy; (ii) current
market conditions (levels of the VIX, for example); (iii) historic volatility
of your asset and its current implied volatility; (iv) bid-ask spread and
liquidity of the relevant options, etc.
Graphed the expected profit/loss for our strategy for various choices of X,
assuming the stock price does not change and Implied Volatility changes by +/- 3%.
SPICE MODEL of SSM3K126TU (Professional+BDP Model) in SPICE PARKTsuyoshi Horigome
SPICE MODEL of SSM3K126TU (Professional+BDP Model) in SPICE PARK. English Version is http://www.spicepark.net. Japanese Version is http://www.spicepark.com by Bee Technologies.
SPICE MODEL of 2SK2962 (Professional+BDP Model) in SPICE PARKTsuyoshi Horigome
SPICE MODEL of 2SK2962 (Professional+BDP Model) in SPICE PARK. English Version is http://www.spicepark.net. Japanese Version is http://www.spicepark.com by Bee Technologies.
Operational Risk Management Under Basel II & Basel IIIEneni Oduwole
In this introductory presentation on the subject, salient features that changed in approaches adopted for Operational Risk Management under Basel I and Basel I were highlighted.
SPICE MODEL of 2SK2962 (Professional+BDP Model) in SPICE PARKTsuyoshi Horigome
SPICE MODEL of 2SK2962 (Professional+BDP Model) in SPICE PARK. English Version is http://www.spicepark.net. Japanese Version is http://www.spicepark.com by Bee Technologies.
Operational Risk Management Under Basel II & Basel IIIEneni Oduwole
In this introductory presentation on the subject, salient features that changed in approaches adopted for Operational Risk Management under Basel I and Basel I were highlighted.
Risk management is an integral part of business management. This set of principles was developed by the industry for the industry. They have been drafted to make them so practical that they will resonate with any financial organization.
SPICE MODEL of 2SK2698 (Professional+BDP Model) in SPICE PARKTsuyoshi Horigome
SPICE MODEL of 2SK2698 (Professional+BDP Model) in SPICE PARK. English Version is http://www.spicepark.net. Japanese Version is http://www.spicepark.com by Bee Technologies.
This is a custom media dashboard I've developed for a previous Digital campaign (ROI initiative). It is composed of all pertinent metrics illustrated in a clear transparent format that any client would be enamored.
-- Jason Brown
This is a custom media dashboard I've developed for a previous Digital campaign (ROI initiative). It is composed of all pertinent metrics illustrated in a clear transparent format that any client would be enamored.
-- Jason Brown
SPICE MODEL of TPCM8001-H (Professional+BDSP Model) in SPICE PARKTsuyoshi Horigome
SPICE MODEL of TPCM8001-H (Professional+BDSP Model) in SPICE PARK. English Version is http://www.spicepark.net. Japanese Version is http://www.spicepark.com by Bee Technologies.
SPICE MODEL of 2SK2508 (Professional+BDP Model) in SPICE PARKTsuyoshi Horigome
SPICE MODEL of 2SK2508 (Professional+BDP Model) in SPICE PARK. English Version is http://www.spicepark.net. Japanese Version is http://www.spicepark.com by Bee Technologies.
SPICE MODEL of 2SK2916 (Professional+BDP Model) in SPICE PARKTsuyoshi Horigome
SPICE MODEL of 2SK2916 (Professional+BDP Model) in SPICE PARK. English Version is http://www.spicepark.net. Japanese Version is http://www.spicepark.com by Bee Technologies.
SPICE MODEL of TPCA8005-H (Professional+BDSP Model) in SPICE PARKTsuyoshi Horigome
SPICE MODEL of TPCA8005-H (Professional+BDSP Model) in SPICE PARK. English Version is http://www.spicepark.net. Japanese Version is http://www.spicepark.com by Bee Technologies.
[Note: This is a partial preview. To download this presentation, visit:
https://www.oeconsulting.com.sg/training-presentations]
Sustainability has become an increasingly critical topic as the world recognizes the need to protect our planet and its resources for future generations. Sustainability means meeting our current needs without compromising the ability of future generations to meet theirs. It involves long-term planning and consideration of the consequences of our actions. The goal is to create strategies that ensure the long-term viability of People, Planet, and Profit.
Leading companies such as Nike, Toyota, and Siemens are prioritizing sustainable innovation in their business models, setting an example for others to follow. In this Sustainability training presentation, you will learn key concepts, principles, and practices of sustainability applicable across industries. This training aims to create awareness and educate employees, senior executives, consultants, and other key stakeholders, including investors, policymakers, and supply chain partners, on the importance and implementation of sustainability.
LEARNING OBJECTIVES
1. Develop a comprehensive understanding of the fundamental principles and concepts that form the foundation of sustainability within corporate environments.
2. Explore the sustainability implementation model, focusing on effective measures and reporting strategies to track and communicate sustainability efforts.
3. Identify and define best practices and critical success factors essential for achieving sustainability goals within organizations.
CONTENTS
1. Introduction and Key Concepts of Sustainability
2. Principles and Practices of Sustainability
3. Measures and Reporting in Sustainability
4. Sustainability Implementation & Best Practices
To download the complete presentation, visit: https://www.oeconsulting.com.sg/training-presentations
Cracking the Workplace Discipline Code Main.pptxWorkforce Group
Cultivating and maintaining discipline within teams is a critical differentiator for successful organisations.
Forward-thinking leaders and business managers understand the impact that discipline has on organisational success. A disciplined workforce operates with clarity, focus, and a shared understanding of expectations, ultimately driving better results, optimising productivity, and facilitating seamless collaboration.
Although discipline is not a one-size-fits-all approach, it can help create a work environment that encourages personal growth and accountability rather than solely relying on punitive measures.
In this deck, you will learn the significance of workplace discipline for organisational success. You’ll also learn
• Four (4) workplace discipline methods you should consider
• The best and most practical approach to implementing workplace discipline.
• Three (3) key tips to maintain a disciplined workplace.
Attending a job Interview for B1 and B2 Englsih learnersErika906060
It is a sample of an interview for a business english class for pre-intermediate and intermediate english students with emphasis on the speking ability.
India Orthopedic Devices Market: Unlocking Growth Secrets, Trends and Develop...Kumar Satyam
According to TechSci Research report, “India Orthopedic Devices Market -Industry Size, Share, Trends, Competition Forecast & Opportunities, 2030”, the India Orthopedic Devices Market stood at USD 1,280.54 Million in 2024 and is anticipated to grow with a CAGR of 7.84% in the forecast period, 2026-2030F. The India Orthopedic Devices Market is being driven by several factors. The most prominent ones include an increase in the elderly population, who are more prone to orthopedic conditions such as osteoporosis and arthritis. Moreover, the rise in sports injuries and road accidents are also contributing to the demand for orthopedic devices. Advances in technology and the introduction of innovative implants and prosthetics have further propelled the market growth. Additionally, government initiatives aimed at improving healthcare infrastructure and the increasing prevalence of lifestyle diseases have led to an upward trend in orthopedic surgeries, thereby fueling the market demand for these devices.
Remote sensing and monitoring are changing the mining industry for the better. These are providing innovative solutions to long-standing challenges. Those related to exploration, extraction, and overall environmental management by mining technology companies Odisha. These technologies make use of satellite imaging, aerial photography and sensors to collect data that might be inaccessible or from hazardous locations. With the use of this technology, mining operations are becoming increasingly efficient. Let us gain more insight into the key aspects associated with remote sensing and monitoring when it comes to mining.
RMD24 | Retail media: hoe zet je dit in als je geen AH of Unilever bent? Heid...BBPMedia1
Grote partijen zijn al een tijdje onderweg met retail media. Ondertussen worden in dit domein ook de kansen zichtbaar voor andere spelers in de markt. Maar met die kansen ontstaan ook vragen: Zelf retail media worden of erop adverteren? In welke fase van de funnel past het en hoe integreer je het in een mediaplan? Wat is nu precies het verschil met marketplaces en Programmatic ads? In dit half uur beslechten we de dilemma's en krijg je antwoorden op wanneer het voor jou tijd is om de volgende stap te zetten.
Enterprise Excellence is Inclusive Excellence.pdfKaiNexus
Enterprise excellence and inclusive excellence are closely linked, and real-world challenges have shown that both are essential to the success of any organization. To achieve enterprise excellence, organizations must focus on improving their operations and processes while creating an inclusive environment that engages everyone. In this interactive session, the facilitator will highlight commonly established business practices and how they limit our ability to engage everyone every day. More importantly, though, participants will likely gain increased awareness of what we can do differently to maximize enterprise excellence through deliberate inclusion.
What is Enterprise Excellence?
Enterprise Excellence is a holistic approach that's aimed at achieving world-class performance across all aspects of the organization.
What might I learn?
A way to engage all in creating Inclusive Excellence. Lessons from the US military and their parallels to the story of Harry Potter. How belt systems and CI teams can destroy inclusive practices. How leadership language invites people to the party. There are three things leaders can do to engage everyone every day: maximizing psychological safety to create environments where folks learn, contribute, and challenge the status quo.
Who might benefit? Anyone and everyone leading folks from the shop floor to top floor.
Dr. William Harvey is a seasoned Operations Leader with extensive experience in chemical processing, manufacturing, and operations management. At Michelman, he currently oversees multiple sites, leading teams in strategic planning and coaching/practicing continuous improvement. William is set to start his eighth year of teaching at the University of Cincinnati where he teaches marketing, finance, and management. William holds various certifications in change management, quality, leadership, operational excellence, team building, and DiSC, among others.
Personal Brand Statement:
As an Army veteran dedicated to lifelong learning, I bring a disciplined, strategic mindset to my pursuits. I am constantly expanding my knowledge to innovate and lead effectively. My journey is driven by a commitment to excellence, and to make a meaningful impact in the world.
What are the main advantages of using HR recruiter services.pdfHumanResourceDimensi1
HR recruiter services offer top talents to companies according to their specific needs. They handle all recruitment tasks from job posting to onboarding and help companies concentrate on their business growth. With their expertise and years of experience, they streamline the hiring process and save time and resources for the company.
Affordable Stationery Printing Services in Jaipur | Navpack n PrintNavpack & Print
Looking for professional printing services in Jaipur? Navpack n Print offers high-quality and affordable stationery printing for all your business needs. Stand out with custom stationery designs and fast turnaround times. Contact us today for a quote!
Premium MEAN Stack Development Solutions for Modern BusinessesSynapseIndia
Stay ahead of the curve with our premium MEAN Stack Development Solutions. Our expert developers utilize MongoDB, Express.js, AngularJS, and Node.js to create modern and responsive web applications. Trust us for cutting-edge solutions that drive your business growth and success.
Know more: https://www.synapseindia.com/technology/mean-stack-development-company.html
"𝑩𝑬𝑮𝑼𝑵 𝑾𝑰𝑻𝑯 𝑻𝑱 𝑰𝑺 𝑯𝑨𝑳𝑭 𝑫𝑶𝑵𝑬"
𝐓𝐉 𝐂𝐨𝐦𝐬 (𝐓𝐉 𝐂𝐨𝐦𝐦𝐮𝐧𝐢𝐜𝐚𝐭𝐢𝐨𝐧𝐬) is a professional event agency that includes experts in the event-organizing market in Vietnam, Korea, and ASEAN countries. We provide unlimited types of events from Music concerts, Fan meetings, and Culture festivals to Corporate events, Internal company events, Golf tournaments, MICE events, and Exhibitions.
𝐓𝐉 𝐂𝐨𝐦𝐬 provides unlimited package services including such as Event organizing, Event planning, Event production, Manpower, PR marketing, Design 2D/3D, VIP protocols, Interpreter agency, etc.
Sports events - Golf competitions/billiards competitions/company sports events: dynamic and challenging
⭐ 𝐅𝐞𝐚𝐭𝐮𝐫𝐞𝐝 𝐩𝐫𝐨𝐣𝐞𝐜𝐭𝐬:
➢ 2024 BAEKHYUN [Lonsdaleite] IN HO CHI MINH
➢ SUPER JUNIOR-L.S.S. THE SHOW : Th3ee Guys in HO CHI MINH
➢FreenBecky 1st Fan Meeting in Vietnam
➢CHILDREN ART EXHIBITION 2024: BEYOND BARRIERS
➢ WOW K-Music Festival 2023
➢ Winner [CROSS] Tour in HCM
➢ Super Show 9 in HCM with Super Junior
➢ HCMC - Gyeongsangbuk-do Culture and Tourism Festival
➢ Korean Vietnam Partnership - Fair with LG
➢ Korean President visits Samsung Electronics R&D Center
➢ Vietnam Food Expo with Lotte Wellfood
"𝐄𝐯𝐞𝐫𝐲 𝐞𝐯𝐞𝐧𝐭 𝐢𝐬 𝐚 𝐬𝐭𝐨𝐫𝐲, 𝐚 𝐬𝐩𝐞𝐜𝐢𝐚𝐥 𝐣𝐨𝐮𝐫𝐧𝐞𝐲. 𝐖𝐞 𝐚𝐥𝐰𝐚𝐲𝐬 𝐛𝐞𝐥𝐢𝐞𝐯𝐞 𝐭𝐡𝐚𝐭 𝐬𝐡𝐨𝐫𝐭𝐥𝐲 𝐲𝐨𝐮 𝐰𝐢𝐥𝐥 𝐛𝐞 𝐚 𝐩𝐚𝐫𝐭 𝐨𝐟 𝐨𝐮𝐫 𝐬𝐭𝐨𝐫𝐢𝐞𝐬."
The world of search engine optimization (SEO) is buzzing with discussions after Google confirmed that around 2,500 leaked internal documents related to its Search feature are indeed authentic. The revelation has sparked significant concerns within the SEO community. The leaked documents were initially reported by SEO experts Rand Fishkin and Mike King, igniting widespread analysis and discourse. For More Info:- https://news.arihantwebtech.com/search-disrupted-googles-leaked-documents-rock-the-seo-world/
3. Pengukuran Risiko Pasar
Building the Operational VaR
Choosing the distribution
1) Estimating Severity Estimating Parameters
Testing the Parameters
2) Estimating Frequency PDFs and CDFs
Quantiles
3) Aggregating Severity and Frequency
Monte Carlo Simulation
Validation and Backtesting
3
4. Pemodelan Severity of Losses
Rp 000
Berikut Ini adalah loss harian rata-rata dalam satu bulan untuk kasus penyalahgunaan kartu kredit
1992 1993 1994 1995 1996
1 45,354 55,000 330,000 30,000 91,000
2 42,250 32,500 197,500 19,734 37,500
3 36,745 27,800 65,000 13,000 21,300
4 27,500 10,732 20,503 12,417 21,166
5 20,300 10,000 17,500 11,955 16,600
6 18,000 8,000 10,000 8,250 14,742
7 18,000 7,854 8,800 6,000 11,500
8 17,500 6,000 6,488 5,800 11,468
9 11,018 3,919 5,477 4,344 10,527
10 9,122 2,602 5,352 4,181 6,421
11 3,400 2,595 5,350 3,759 6,133
12 2,500 2,375 3,230 2,635 4,477
Procedure:
1) Choose a few distributions (severity and frequency)
and estimate parameters
(we will try here lognormal and exponential for severity)
2) Check which distribution has the best fit
3) Find confidence intervals for the parameters 4
6. Distribusi Frekuensi Kerugian
Another example, comparing Poisson and Negative Binomial Distributions
Frauds Database
# Events/Day Observed Frequency
0 221
1 188 Parameter estimation of the
2 525 negative binomial is a bit more complex
3 112 and it is based on solving this system
4 73
5 72 of equations
6 44
7 40
∞
8 14
9 7
∑ kn k
rβ = k =0
10 2 n
11 2 and
12 4 2
∞
∞
13 3 ∑ k nk ∑ knk
2
14 2 rβ (1 + β ) = k =0 − k =0
15 1 n n
3338
Distribution Parameter(s)
Poisson λ = 2.379
Negative Binomial r = 3.51
β = 0.67737
6
7. Distribusi Frekuensi Kerugian
Poisson Distribution:
Number of Frauds λ= 102
x
e− λ λ k
f ( x) = ∑
January February March April May June July August
95 82 114 74 79 160 110 115 91% k=0 k!
118 95%
126 99%
Poisson
Poisson PDF Poisson CDF
4.50% 100.00% Other popular
4.00% 90.00%
distributions to
80.00%
3.50%
70.00%
estimate frequency
3.00%
2.50%
60.00% are the geometric,
2.00%
50.00%
40.00%
negative binomial,
1.50%
30.00%
binomial, Weibull, etc
1.00%
20.00%
0.50%
10.00%
0.00%
0.00%
0 50 100 150 200 0 20 40 60 80 100 120 140 160
7
8. Aggregation: Estimate the Operational VaR
Severity Frequency
Prob Prob
Number of Losses
Losses sizes
Aggregated Loss Distribution
Prob
Need to be solved
by simulation
∞
Aggregated losses ∑p F n
*n
X ( x ) No analytical
n =0 solution!
Alternatives:
1) Fast Fourier Transform
2) Panjer Algorithm
3) Recursion 8
9. Aggregation: Estimate the Operational VaR
Severity Frequency
Eksponential/Lognormal/weibull/pareto Poisson/neg.binomial
∞
∑pF
n =0
*n
n X ( x)
Operational VaR
9
10. Agregasi Operational VaR Dengan Simulasi MC
Lakukanlah agregasi dengan @Risk dengan prosedur berikut
1. Data severity dan frequency dicari distribusinya untuk mendapatkan
parameter dalam simulasi Monte Carlo
2. Pertama kali yang disimulasi adalah parameter distribusi frequency,
buatlah 1.000 iterasi
3. Identifikasikan numbers of #event dengan fungsi Excel
COUNTIF(range,criteria). Ex. COUNTIF(a1:a1000;1)=220. Artinya
dalam 1000 simulasi, ada 220 kejadian dimana fraud terjadi sekali
4. Akumulasikan #event (tentunya terkecuali untuk 0 event), untuk
menentukan berapa iterasi yang diperlukan untuk simulasi kedua
yakni simulasi atas distribusi severity. Misalnya kita harus
memperoleh 2.370 data severity data untuk membangun (aggregate)
operational loss distribution
5. Lakukanlah agregasi (lihat slide berikut) dan sortirlah untuk
memperoleh the worst 1% (data ke 11 dari hasil sortiran), itulah nilai
VaR
6. VaR = unexpected loss, sedangkan Capital at Risk adalah VaR –
expected loss. Bagaimana cara menghitung Expected loss ?
10
11. Aggregation: Estimate the Operational VaR
How to prepare frequency distribution for aggregation…
Result of Monte Carlo Simulation for Frequency Distribution
0 926 0
1 2204 9074
2 2621 6870
3 2079 4249
4 1237 2170
5 589 933
6 233 344
7 79 111
8 24 32
9 6 8
10 1 2
11 1 1
12 0 0
13 0 0
14 0 0
15 0 0
#iteration for Monte Carlo
10000 23794 Simulation of Severity Distribution
11
13. Sustaining losses in Operational Risk
Capital at Risk (Rp 422.475.000)
Frequency of losses
=
Unexpected losses – Expected Losses
ses d
e
ect
1%
Exp
Los
25.265 447.740
Size of losses
Income Capital Insurance
13