Session: 36

AFIR/ERM

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Summary

The management of operational risk has been one of the main issues for financial institution recently, althougt it is quite hard to properly measure the risk. We concentrate on the Loss Distribution Approach (LDA), which separately estimates the distributions of likelihood and the severity from the reported loss cases and compounds both to obtain the distribution of the cumulative amount of losses during a certain period. In this article, we discuss the implementation of LDA and illustrate the computation of the operational VaR from the actual loss data. We also present some consequences that give comparisons among various pair of severity distribution and parameter estimation and consider how to use external data to measure operational risk in the consistent way with internal loss data at last.

RESEARCHER:
Ph.D., Mathematical Science
MTB Investment Technology Institute Co., Ltd. (MTEC)

He began to study mathematical finance in his graduate school, and in 2000 he wrote his doctoral thesis on default risk to achieve Ph.D. in mathematical science at Department of Mathematical Sciences, University of Tokyo. Since April 2000, he has worked as a researcher at MTB Investment Technology Institute Co., Ltd. (MTEC), which is a subsidiary company of The Mitsubishi Trust and Banking Corporation. Now he is engaged in researches and development of models for asset management and risk management.

Recently, he has researched credit risk modeling, operational risk measurement, valuation of MBS and so on. 

BIOGRAPHY:
Researcher, MTB Investment Technology Institute Co., Ltd.
Ph.D., Mathematical Science

NATIONALITY:
JAPAN

DATE OF BIRTH:
May 27,1972

EDUCATION:
Mar. 1995 B.Sc., Mathematics, University of Tokyo

Mar. 1997 M.Sc., Mathematical Science, Department of Mathematical Sciences, University of Tokyo

Mar. 2000 Ph. D., Mathematical Science, Department of Mathematical Sciences, University of Tokyo

BUSINESS EXPERIENCE:
April 2000 - Researcher, MTB Investment Technology Institute Co., Ltd., 

Research and Model-development in Asset management and Risk management. 

LIST OF PUBLICATIONS:
TRASLATION: 
Damien Lamberton, Bernard lapeyre, "Introduction au calcul stochastique applique a la finance."(Original written in French.) , 2000. (With Prof. Ph.D. S. Moridaira, N. Aoki, S. Iwamura and T. Otawa.) 

BOOK: 
1."Credit Risk Model."(in Japanese, With Prof. Ph.D. S. Kusuoka and Ph.D. K. Aonuma), 2001.

2."Operatinal Risk"(in Japanese, As a member of `Operational risk quantification' project team of Mitsubishi Trust Bank), 2002.

ACADEMIC PAPERS:
1. A Remark on Spot Rate Models Induced by an Equilibrium Model. Journal of Mathematical Sciences University of Tokyo, 6, 453-475(1999).

2. Valuation of Default Swap with Affine Class Hazard Rate. Proceedings of the Japan Academy, Vol.75, Series A, No.3, 43-46(1999). 

3. A Filtering Model on Default Risk. Journal of Mathematical Sciences University of Tokyo, 8, 107-142(2001).

OTHER PAPER:
1. A Tentative Model for Operational Risk Measurement (in Japanese). MTEC Journal, 13, 49-70(2001).

2. Valuation of Mortgage-Backed Securities Based on Stochastic Prepayment Costs (in Japanese, With T. Shouda), MTEC Journal, 14, 75-97(2002).