After his undergraduate studies in Mathematics, Operational Research, Statistics and Economics (MORSE) at the University of Warwick, Nicholas Bloxham started working in Private Equity, building valuation models primarily for commercial property portfolios. Following a masters in Mathematics and Finance at Imperial College London he joined Santander UK. As a Quantitative Analyst within the Internal Validation team, he initially validated models within the Banking Market Risk realm, focussing on assessing Interest Rate Risk in the Banking Book (IRRBB) Asset & Liability Management (ALM) models, Funds Transfer Pricing (FTP) and Operational Risk capital modelling. Then as a Quantitative Manager, he validated Traded Market Risk models, including derivative pricing, Structured Products and Value at Risk (VaR) models across trading desks.
In this paper, the importance of the empirical bootstrap (EB) in assessing minimal operational risk capital is discussed, and an alternative way of estimating minimal operational risk capital using a central limit theorem (CLT) formulation is presented.