Standard Bank Group
Kevin Panman is a Quantitative Risk Analyst at Standard Bank Group, based in South Africa. He focusses on the quantification of operational risk and more specifically, on the Loss Distribution Approach under the Advanced Measurement Approach. Kevin completed his Philosophiae Doctor degree in Risk Analysis at the North-West University's Centre for Business Mathematics and Informatics in 2015. The focus of his research was on a comparison of different quantile estimators popular in operational risk quantification. His research interest includes quantitative risk management, risk analytics and extreme value theory. Kevin is the author and co-author of a number of international research papers and presented several papers at conferences.
In this paper, the authors contribute to the measurement of model risk by focusing on the quantification of estimation risk.
A simulation comparison of aggregation periods for estimating correlations within operational loss data
This paper investigates the differences in the values of correlations based on different aggregation periods of time series loss data.
A simulation comparison of quantile approximation techniques for compound distributions popular in operational risk
The objective of this paper is to compare numerical approximation techniques in terms of their practical usefulness and potential applicability in an operational risk context.