Ruben D. Cohen
Ruben Cohen is currently an independent consultant. He has been working in the financial industry for over 17 years, with most of the last 10 in operational risk analytics at Citi and more lately in model risk at BAML.
Prior to that, Ruben spent 10 years on the faculty of Mechanical Engineering & Materials Science at Rice University in Houston, specializing in Fluid Mechanics and Thermodynamics. He holds a Ph.D. in Mechanical Engineering from M.I.T. and has subsequently obtained an M.A. in Economics from McGill University.
Ruben is based in London and has published over 50 papers in a variety of areas, including engineering, physics, economics and finance.
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In this paper, the author constructs a capital model for operational risk based on the observation that operational losses can, under a certain dimensional transformation, converge into a single, universal distribution.
The issues with the standardized measurement approach and a potential future direction for operational risk capital modeling
This paper discusses the criticism and praise the SMA and AMA have received, respectively, in many recent articles.
The author of this paper assesses operational loss data and its implications for risk capital modeling.