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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Articles by Ruben D Cohen
An investigation of cyber loss data and its links to operational risk
This paper investigates cyber loss data and focuses on quantifying the direct financial and compensatory losses emanating from cyber risks.
An operational risk capital model based on the loss distribution approach
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.
How to save op risk modelling
Drop loss categories and correlations and adopt simple loss distribution, advises AMA expert
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.
An assessment of operational loss data and its implications for risk capital modeling
The author of this paper assesses operational loss data and its implications for risk capital modeling.
Even for me, AMA models are too complicated
The AMA doesn’t make any sense – but the idea of a single, simple equation does, writes Ruben Cohen