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

David Humke, Vice President, The Northern Trust Company

Under the Basel II Accord, financial institutions are required for the first time to determine capital requirements for a new class of risk – operational risk.  Large and internally active banks are required to estimate operational risk exposure using the Advanced Measurement Approach (AMA), which relies on advanced empirical models.  As banks continue to develop and enhance their own AMA models for operational risk measurement, they are increasingly utilizing R to perform various modeling tasks.

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.

David Humke
Vice President
Northern Trust

David Humke is a Vice President and Risk Consultant at The Northern Trust Company, Chicago.  His primary responsibilities are to develop, implement, and document the operational risk capital measurement process.  Prior to receiving his concentrated role within the Corporate Operational Risk Group’s Modeling Team, David also provided analytical support to the teams measuring Market and Credit Risk as well as Northern Trust’s Basel II Project Management Office.

David was a Project Analyst for the Consumer Packaged Goods Analytics Unit at AC Nielsen/VNU, Inc., prior to joining Northern Trust in August of 2006.  He received his B.S. in Economics from Bradley University and his M.S. in Economics from Purdue University.