Risk Modelling in Excel

Day 1 – Basic understanding of Operational Risk Modelling & Advanced Measurement Approach, Statistical Distributions (Normal, Lognormal, Poisson, Exponential, Weibull, Gamma & Beta Distribution), Fitting distributions to data: Parameter estimation – MLE, MME, Moment Matching & Quantile Matching, Examining goodness of fit – Chie Sq, KS, AD, QQ Plot.

Day 2 – Copulas and Correlations – Gaussian, T, Gumbel, Frequency distributions, Modelling size of losses using Excel:
Severity distributions, Modelling Insurance, Aggregate loss modeling- Convolution and Monte Carlo Simulations.