Loading Events

All Events

  • This event has passed.

Hazards of Using Simplistic Scenarios with Monte Carlo Plus

March 25, 2020 @ 8:00 am - 9:30 am

Dr Mustafa Cavus from Monte Carlo Plus will discuss the hazards of firms using “simplistic” scenarios as a basis to assess their operational risks. Firms often use a very simplistic approach to calculate their risks within the ICAAP framework, by simply adding the scenarios. This neglects diversification benefit between scenarios, i.e. that not all scenarios cannot happen at the same time. That is, they often leave “money on the table”. As a result, their capital requirement is higher.

Dr Cavus will also talk about new prudential requirements for investment and brokerage firms effective from 2021, which will change the minimum capital requirements for firms. It will impact market, credit and operational risks and the methods for computing those. It will introduce new set of so-called K-factors and potentially mean higher capital requirements for brokerage firms.


March 25, 2020
8:00 am - 9:30 am


Room 4, 3rd Floor, Becket House
36 Old Jewry
London, EC2R 8DD United Kingdom
+ Google Map
View Venue Website

Register Today

The broker club is an exclusive club for brokers active within financial markets. The club is particularly relevant for senior management, front and back office, risk/compliance and IT.

Click here to register