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Achieving High-Performing, Simulation-Based Operational Risk Measurement with RevoScaleR


Presenters:

David Humke, Vice President, The Northern Trust Company

In this presentation, Northern Trust will discuss the use of R in the loss distribution approach (LDA), the most widely used empirical approach for the measurement of operational risk.

In Northern Trust’s experience, R offers unparalleled access to various distributions that are most relevant for modeling the frequency and severity of operational loss events. Additionally, Northern Trust utilizes R to perform large scale Monte Carlo simulations within the context of the LDA.  These simulations are computationally intense from a processing perspective, taking many hours and sometimes days to complete with the open source distribution but much less with Revolution R Enterprise.   

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About the Speakers:
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