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Dr. Klaus Böcker
UniCredit
Group, Risk Control
Email: klaus dot boecker at
unicreditgroup dot de
Research interests
- Financial Risk Management
- Mathematical Finance
- Financial Modeling
Publications (selected)
Böcker,
K. and Klüppelberg,
C.
(2009)
Approximationen erster Ordnung für operationelle Risiken unter
Abhängigkeiten
In:
Schäfer/Burghof/Johanning/Wagner/Rodt (Hrsg.). Risikomanagement und
kapitalmarktorientierte Finanzierung.
Festschrift für Bernd
Rudolph, pp. 403-420. Fritz
Knapp Verlag, Frankfurt am Main.
pdf-file
Böcker,
K. and Klüppelberg,
C.
(2009)
First Order Approximations to Operational Risk - Dependence and
Consequences
To appear in: G.N. Gregoriou
(ed.),
Operational Risk Toward Basel III, Best
Practices and Issues in Modeling, Management and Regulation. Wiley, New
York.
pdf-file
K.
Böcker (2008)
Modelling and Measuring Business Risk
In: Pillar II in the New
Basel
Accord: the Challenge of the Internal
Capital Adequacy Assessment
Process, Ed. A. Resti, Risk Books, to appear.
pdf-file
Böcker,
K., Klüppelberg,
C. (2008)
Modelling and Measuring Multivariate
Operational Risk with Lévy Copulas
J. Operational Risk 3(2), 3-27.
pdf-file,
ps-file
Böcker,
K., Klüppelberg,
C. (2008)
Economic Capital Modelling and Basel II Compliance in the Banking
Industry
In: Jäger, W. and Krebs,
H.-J. (Eds.)
Mathematics - Key
Technology for the Future. Springer, Berlin.
pdf-file,
ps-file
Böcker,
K., Sprittulla, J. (2008)
Operational VAR: meaningful means
RISK, December 2006, 96-98.
pdf-file
Böcker,
K., Klüppelberg,
C. (2007)
Multivariate Operational Risk:
Dependence Modelling with Lévy Copulas
2007 ERM Symposium Online Monograph, Society of Actuaries,
and
Joint Risk Management section newsletter
of the Society of Actuaries, Casualty of Actuaries, and Canandian
Insitute
of Actuaries Society of Actuaries.
pdf-file,
ps-file
Böcker,
K., Hillebrand, M. (2007)
Interaction of Market and Credit Risk: An Analysis of
Inter-Risk Correlation and Risk Aggregation
(PRMIA "2008 New Frontiers in Risk Management Award")
Submitted for publication.
pdf-file
Böcker,
K., Klüppelberg,
C. (2006)
Multivariate Models for Operational Risk.
(PRMIA "2007 New Frontiers in Risk Management Award")
Quantitative Finance. To
appear.
pdf-file,
ps-file
Böcker,
K., Klüppelberg,
C. (2005)
Operational VaR: a closed-form approximation
RISK, December 2005, 90-93.
ps-file,
pdf-file
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Epistemic Risk and
Measurement Uncertainty.
Jahrestagung Effizientes Kreditportfoliomanagement,
Marcus Evans, Frankfurt, September 2009
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Measurement Uncertainty,
Expert Elicitation and Bayesian Analysis.
Scheduled talk at Risk Capital Conference, ICBI, Brussels, July 2009
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Quo Vadis, Economic Capital? Epistemic Risk &
Expert Judgements.
Scheduled talk at Risk Minds Conference, ICBI, Geneva, December 2008
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EC Aggregation: Some issues
on model risk.
Scheduled talk at Risk Capital Conference, ICBI, Paris, July 2008
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Risk Aggregation: An
analysis of inter-risk correlation between market and credit risk.
awarded with the PRMIA "2008 New Frontiers in Risk Management
Award",
Enterprise Risk Management Symposium, Chicago, IL, USA, April 2008
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Dependence Modelling of
Operational VAR using Lévy Copulas.
Invited talk at the Risk Management Day, University of Aarhus, February
2008
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Aggregation
verschiedener Risikoarten und Ermittlung der Interkorrelationsmatrix.
Integrierte Banksteuerung. Euroforum-Conference, Düsseldorf,
Germany, January 2008
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Interaction
of Market and Credit Risk: Inter-Risk Correlation and Risk Aggregation.
Conference on the Interaction of Market and Credit Risk, Research Task
Force of the Basel Committee on Banking Supervision and the Journal of
Banking & Finance, hosted by the Deutsche Bundesbank, Berlin,
December, 2007
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Risk Integration In The
Spotlight: Assessing The Diversification And Correlation Between A
Credit Portfolio And Other Risk Types.
Scheduled talk at Risk Minds Conference, ICBI, Geneva, December 2007
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ICAAP: Managing capital
adequacy processes under Basel II.
Scheduled talk at GARP's 3rd Economic Capital Road Show,
London and Amsterdam, October and November 2007
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Multivariate Models For
Operational Risk: Closed-Form Approximations for OpVAR. PRMIA Munich Chapter Meeting,
PRMIA and KPMG, Munich, July 2007
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Interaction of Market and
Credit Risk: Inter-Risk Correlation and Risk Aggregation.
Scheduled talk at Risk Capital Conference, ICBI, Paris, July
2007
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Multivariate Models for
Operational Risk.
awarded with the PRMIA "2007 New Frontiers in Risk Management
Award",
Enterprise Risk Management Symposium, Chicago, IL, USA, March 2007
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Building Blocks for an
Economic Capital Model.
Training Course on Economic Capital Modelling. RISK Training,
London, December 2006
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Multivariate Modelling of
Operational VAR with Levy Copulas
2nd Annual Operational Risk in CEE. MarcusEvans,
Prague, December 2006
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Closed-Form Approximations
for Operational VaR.
Operations Research Conference, University of Karlsruhe,
September 2006
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Risikoaggregation
und Risikotragfähigkeit als wesentliche Bestandteile des ICAAP.
Anforderungen der Baseler Regelungen durch
die Säulen II und III,
Euroforum- Conference, Wiesbaden, Germany, August 2006
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Investigating Operational
VAR by Closed Form Approximations.
Risk Capital Conference, ICBI, Paris, July 2006
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Economic Capital – News and
Views.
BMBF workshop on credit risk management, Technical University
of Munich,
March 2006
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Appreciations
- "PRMIA
Best Paper Award for a paper charting New Frontiers in Risk Management":
Böcker, K. and Hillebrand, M.
Interaction of Market
and Credit Risk: An Analysis of Inter-Risk Correlation and
Risk Aggregation.
Paper presented at: ERM Symposium; March
28−March 30, 2008;
Chicago, IL.
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Böcker, K. and Klüppelberg, C. Multivariate
Models for Operational Risk.
Paper presented at: 2007 ERM Symposium;
April 14−April 16; Chicago, IL.
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Nomination
for the "Operational Risk & Compliance Achievements Awards 2006,
Category: Academic Paper": Böcker, K. and Klüppelberg, C.
(2005).
Operational VAR: a closed-form approximation. April 6, 2006; London.
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Short CV
Here.
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