Paper of the year: JD Opdyke and Alexander Cavallo
Swings in op risk capital traced to flaws in MLE
The 2012 Operational Risk & Regulation Paper of the Year, 'Estimating operational risk capital', started as a response to a puzzling anomaly. In early 2011, Alexander Cavallo, senior vice president and risk specialist in the operational risk and risk analytics team at Northern Trust in Chicago, and co-author of the paper alongside JD Opdyke, noticed that the company's operational risk capital number had jumped substantially in a quarter that had seen only a few small material loss events.
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