Author : Ellen Davis
Publisher :
Page : 372 pages
File Size : 41,53 MB
Release : 2006-01-01
Category : Financial institutions
ISBN : 9781904339885
Voted no. 1 in FEN's top ten technical books for 2006 - With the deadlines for Basel II rapidly approaching - your firm must implement the AMA by January 2008. To get your frameworks into place Risk Books present you with this state-of-the-art technical guide on how to model op risk with practical advice on how to set up an AMA programme that fully supports the modelling and quantification goals of your organisation.
Author :
Publisher : Lulu.com
Page : 294 pages
File Size : 47,14 MB
Release : 2004
Category : Bank capital
ISBN : 9291316695
Author : Anna S. Chernobai
Publisher : John Wiley & Sons
Page : 328 pages
File Size : 29,64 MB
Release : 2007-06-15
Category : Business & Economics
ISBN :
Operational Risk While operational risk has long been regarded as a mere part of "other" risks—outside the realm of credit and market risk—it has quickly made its way to the forefront of finance. In fact, with implementation of the Basel II Capital Accord already underway, many financial professionals—as well as those preparing to enter this field—must now become familiar with a variety of issues related to operational risk modeling and management. Written by the experienced team of Anna Chernobai, Svetlozar Rachev, and Frank Fabozzi, Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis will introduce you to the key concepts associated with this discipline. Filled with in-depth insights, expert advice, and innovative research, this comprehensive guide not only presents you with an abundant amount of information regarding operational risk, but it also walks you through a wide array of examples that will solidify your understanding of the issues discussed. Topics covered include: The main challenges that exist in modeling operational risk The variety of approaches used to model operational losses Value-at-Risk and its role in quantifying and managing operational risk The three pillars of the Basel II Capital Accord And much more
Author : Andreas Jobst
Publisher : International Monetary Fund
Page : 74 pages
File Size : 24,55 MB
Release : 2007-10-01
Category : Business & Economics
ISBN : 1451868030
This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel II"). Operational risk is commonly defined as the risk of loss resulting from inadequate or failed internal processes and information systems, from misconduct by people or from unforeseen external events. Our analysis informs an integrated assessment of the quantification of operational risk exposure and the consistency of current capital rules on operational risk based on generalized parametric estimation.
Author : Imad A. Moosa
Publisher : Palgrave MacMillan
Page : 296 pages
File Size : 24,54 MB
Release : 2008-10-31
Category : Business & Economics
ISBN :
The book presents arguments that are critical of the Basel II Accord, particularly the advanced measurement approach to operational risk. It is argued that the advanced measurement approach is not viable in terms of costs and benefits and is likely to distract financial institutions from the real task of managing operational risk.
Author : Vanessa Le Leslé
Publisher : International Monetary Fund
Page : 50 pages
File Size : 17,44 MB
Release : 2012-03-01
Category : Business & Economics
ISBN : 1475502656
In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.
Author : Rafael Cavestany
Publisher :
Page : 459 pages
File Size : 18,96 MB
Release : 2015
Category : Financial risk management
ISBN : 9781782722014
"Operational Risk Capital Models is a guide for the implementation of state of the art operational risk capital models suitable for regulatory approval. For insurers, Solvency II implementation has created the need, in both highly developed and less developed markets, for the development of these models that help to better understand risks, safe capital and compliance. For the banking industry, regulators in many countries in Africa, Asia and Latin America (as well as Europe) are pressing their local banks to implement advanced operational risk capital models. Banks that have made early implementation are looking to improve their capital models with new advances to match the increasing regulatory requirements. Operational Risk Capital Models enables you to model your operational risk capital to ensure the model meets regulatory standards. It describes the process end to end, from the capture of the required data to the modelling and VaR calculation, as well as the integration of capital results into your institution's daily risk management." --Contratapa.
Author : Paola Leone
Publisher : Springer
Page : 225 pages
File Size : 27,55 MB
Release : 2017-12-26
Category : Business & Economics
ISBN : 3319694103
This book covers Operational Risk Management (ORM), in the current context, and its new role in the risk management field. The concept of operational risk is subject to a wide discussion also in the field of ORM’s literature, which has increased throughout the years. By analyzing different methodologies that try to integrate qualitative and quantitative data or different measurement approaches, the authors explore the methodological framework, the assumptions, statistical tool, and the main results of an operational risk model projected by intermediaries. A guide for academics and students, the book also discusses the avenue of mitigation acts, suggested by the main results of the methodologies applied. The book will appeal to students, academics, and financial supervisory and regulatory authorities.
Author : Douglas Robertson
Publisher : Springer
Page : 202 pages
File Size : 13,31 MB
Release : 2016-02-23
Category : Business & Economics
ISBN : 1137442174
Operational risk is the risk of loss from inadequate or failed internal processes, people, and systems or from external events. This book explores the different types of operational risk that threaten financial institutions, and focuses on practical due-diligence methodologies that can be used to identify these risks before it is too late.
Author : Ron S. Kenett
Publisher : John Wiley & Sons
Page : 339 pages
File Size : 36,67 MB
Release : 2011-06-20
Category : Business & Economics
ISBN : 1119956722
Models and methods for operational risks assessment and mitigation are gaining importance in financial institutions, healthcare organizations, industry, businesses and organisations in general. This book introduces modern Operational Risk Management and describes how various data sources of different types, both numeric and semantic sources such as text can be integrated and analyzed. The book also demonstrates how Operational Risk Management is synergetic to other risk management activities such as Financial Risk Management and Safety Management. Operational Risk Management: a practical approach to intelligent data analysis provides practical and tested methodologies for combining structured and unstructured, semantic-based data, and numeric data, in Operational Risk Management (OpR) data analysis. Key Features: The book is presented in four parts: 1) Introduction to OpR Management, 2) Data for OpR Management, 3) OpR Analytics and 4) OpR Applications and its Integration with other Disciplines. Explores integration of semantic, unstructured textual data, in Operational Risk Management. Provides novel techniques for combining qualitative and quantitative information to assess risks and design mitigation strategies. Presents a comprehensive treatment of "near-misses" data and incidents in Operational Risk Management. Looks at case studies in the financial and industrial sector. Discusses application of ontology engineering to model knowledge used in Operational Risk Management. Many real life examples are presented, mostly based on the MUSING project co-funded by the EU FP6 Information Society Technology Programme. It provides a unique multidisciplinary perspective on the important and evolving topic of Operational Risk Management. The book will be useful to operational risk practitioners, risk managers in banks, hospitals and industry looking for modern approaches to risk management that combine an analysis of structured and unstructured data. The book will also benefit academics interested in research in this field, looking for techniques developed in response to real world problems.
