I am Head of Operational Risk Methodology UK at Santander Bank, London, and I am also Honorary Professor in the Department of Computer Science at University College London. In the 1970s I studied mathematics at Oxford University, and later gained a PhD from the Open University, where I researched object-oriented modelling techniques with computer algebra. Following some years as a lecturer in mathematics, I have been working on risk-related projects in major banks in the UK and the Netherlands for twenty years. Most recently my main activities have been to develop new statistical techniques in operational risk, and to formulate a framework for measuring and investigating the statistical properties of reputational risk. During the past few years I have spoken at conferences numerous times, and have published papers and book chapters on risk-related topics. I am always looking for interesting things to investigate: you never know when they are going to turn up. Sometimes they are not immediately useful. That does not matter: they are there and I follow them!
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.
In this paper, the authors propose a method of allocating operational risk regulatory capital using a closed-form Shapley method, applicable to a large number of business units (BUs).