Kamil J. Mizgier currently works as a Senior Quantitative Analyst in the financial services industry. He received his MSc in Applied Physics from the Warsaw University of Technology and a PhD from the ETH Zurich's Department of Management, Technology and Economics, where he also worked as a Senior Researcher until 2016. Prior to that, he worked as a Risk Modeling and Analytics Specialist at UBS in Zurich. He is an author of several peer reviewed publications on operational risk, supply chain risk and risk capital allocation, and has published his research in journals such as European Journal of Operational Research, Journal of the Operational Research Society and Interfaces.
In this paper, the authors apply a dynamic extreme value theory (EVT) model based on a nonhomogeneous Poisson process incorporating covariates to estimate frequency, severity and risk measures for operational risk.