Operational Risk Modelling and Analysis

Theory and Practice

Publication Date	July 2004
Publisher	Risk Books
Product Type	Book
Pages	374
ISBN Number	1904339344
Product Code	RIS00322

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Summary

Enables you to make more informed decisions on how to identify and avoid the potential risks as well as fully understand the acceptable risks on a cost-benefit basis
Divided under three main sections: 1. Database Modelling, Regulatory and Technical Issues; 2. Risk Modelling and Measurement; 3. Case Studies of Implementation of Operational Risk Projects in Large Financial Institutions
Highlights integral issues such as how to spot the links between indicators of operational risk and the potential losses
Examines the tensions inherent in the nature of operational risk at both quantitative and qualitative levels
Outlines the practical day-to-day issues and illustrates workable methodologies with examples, case studies and cutting-edge analysis
Provides an even mix of both the progressive and in-depth research taking place in academic institutions as well as the actual practical implementation issues
Provides the tools to cope with differing and complex situations within operational risk
Edited by Marcelo Cruz, a world-renowned leading expert on operational risk modelling and measurement

Content

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 BayesianApproach
  - Paolo Giudici
  - University of Pavia
- 7 Stable Modelling of Operational Risk
  - Anna Chernobai, Svetlozar Rachev
  - University of California
- 8 towards Operational Risk Management
  - Kaj Nystrm, 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 Khn; 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