News / 2012

Mikhail Makarov presents at ABA Operational Risk Model Forum

July 8, 2012

Mikhail Makarov provides a presentation on clustering of operational risk losses in ABA July 2012 conference Operational Risk Modeling Forum. He compares several clustering measures and their impact on capital numbers computed. He also looks at the application of the text clustering to grouping of scenario descriptions. This provides a systematic approach to classifying external losses by search criteria.

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