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Operational Risk Modelling and Analysis: Theory and Practice

Operational Risk Modelling and Analysis: Theory and Practice


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About the Book

Commissioned to assist the reader in the identification, implementation, modelling, analysis and integration of operational risk into the overall risk management framework.

Table of Contents:
SECTION 1 - DATABASE MODELLING, REGULATORY AND TECHNOLOGY ISSUES; Introduction; Marcelo Cruz; RiskMaths; 1 Operational Risk - Management Based on the Current Loss Data Situation; Agatha Kalhoff; Marcus Haas; BII; University of Frankfurt; 2 Tackling the Insufficiency of Loss Data for the Quantification of Operational Risk; Marcus Haas; Thomas Kaiser; University of Frankfurt; KPMG; 3 Contract Management and Operational Risk; Kristiina Vares; Swedish School of Economics and Business Administration; 4 Basel II and Operational Risk - An Overview; Carolyn V. Currie; University of Technology, Sydney; 5 Implementing Operational Risk Solutions; Deborah Williams; Financial Insights; SECTION 2 - RISK MODELLING AND MEASUREMENT; Introduction; Marcelo Cruz; RiskMaths; 6 Integration of Qualitative and Quantitative Operational Risk Data: A Bayesian Approach; Paolo Giudici; University of Pavia; 7 Stable Modelling of Operational Risk; Anna Chernobai, Svetlozar Rachev; University of California; 8 Towards Operational Risk Management; Kaj Nystrom, Jimmy Skoglund; Swedbank; 9 A Copula-Extreme Value Theory Approach for Modelling Operational Risk; Annalisa Di Clemente; Claudio Romano; University of Rome; Capitalia Bank Holding; 10 Cyclicality in the Catastrophic Risk of Financial Institutions; Linda Allen, Turan G. Bali, Yi Tang; Zicklin School of Business; 11 Using Stratified Sampling Methods to Improve Percentile Estimates in the Context of Risk Measurement; Neil Hereford, Geoffrey Shuetrim; KPMG; 12 Adequate Capital and Stress Testing for Operational Risks; Reimer Kuhn; Peter Neu; King's College London; Dresdner Bank AG; SECTION 3 - CASE STUDIES OF IMPLEMENTATION OF OPERATIONAL RISK PROJECTS IN LARGE FINANCIAL INSTITUTIONS; Introduction; Marcelo Cruz; RiskMaths; 13 The JPMorganChase Operational Risk Environment; JPMorgan Chase; 14 Overall Large Bank Operational Risk Framework; Duncan Fairley, David McCall; HBOS; 15 Implementing an Integrated Operational Risk Framework; Sok Hui Chng, Him Chuan Lim; DBS Group

About the Author :
Marcelo Cruz is the founder and managing-director of the boutique consulting group RiskMaths in New York. He has over eight years of experience in operational risk modelling and measurement being recognised as a world-renowned expert on the subject. He is the author of the first academic article on operational risk, an application of extreme value theory in risk measurement. His academic interests include an extensive list of technical publications in professional and academic journals and magazines and academic texts on risk management. He is also a member of the Executive Board of GARP (Global Association of Risk Professionals) and acts as an assistant-editor for several publications in the area of finance, risk management and stochastic modeling. Prior to founding RiskMaths, Marcelo led the operational risk methodology development at UBS AG/UBS Warburg as well as working as a derivatives trader for major international investment banks such as JP Morgan for several years. Marcelo holds a PhD in mathematics, an MSc, an MBA and a BSc in economics/econometrics.

Review :
"The modelling of operational risk under the new Basel II guidelines is a major concern to the financial industry. Rather than concentrating on one approach, this book gives an overview of methodology that leads towards a better understanding of operational risk, relevant for the three Pillars of Basel II." Paul Embrechts, ETH Zurich and London School of Economics


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Product Details
  • ISBN-13: 9781904339342
  • Publisher: Risk Books
  • Publisher Imprint: Risk Books
  • Height: 240 mm
  • Width: 155 mm
  • ISBN-10: 1904339344
  • Publisher Date: 20 Jul 2004
  • Binding: Hardback
  • Sub Title: Theory and Practice


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