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