Case Study: Wolters Kluwer cuts development time and delivers Excel-based Change of Measure operational-risk solution with MathWorks (MATLAB)

Wolters Kluwer Implements a Scenario Analysis Approach for Modeling Operational Risk

Wolters Kluwer needed a way to help financial institutions meet new regulatory and shareholder demands for operational risk modeling—specifically to deliver a packaged implementation of the Change of Measure (COM) approach so smaller banks could apply advanced measurement (AMA) methods without building their own models. To develop and deploy this solution, Wolters Kluwer used MathWorks products including MATLAB, Statistics and Machine Learning Toolbox, and MATLAB Compiler.

Using MathWorks MATLAB and toolboxes, Wolters Kluwer implemented the COM workflow (distribution fitting for lognormal/loglogistic/loggamma/Weibull, goodness-of-fit tests, QQ plots, 10,000 COM trials with MLE re‑estimation, and Monte Carlo for low-data cases) and packaged the model as an Excel add-in with MATLAB Compiler so clients can run analyses without MATLAB. The MathWorks-based solution cut development time by more than five months (completed in about three weeks), eliminated long support wait times, and protected Wolters Kluwer’s intellectual property while delivering a ready-to-use operational risk capital tool.

Wolters Kluwer

Aniruddho Sanyal

Senior Consultant