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Operational Risk Toward Basel Iii "Best Practices And Issues In Modeling, Management, And Regulatio"

Best Practices And Issues In Modeling, Management, And Regulatio

Operational Risk Toward Basel Iii "Best Practices And Issues In Modeling, Management, And Regulatio". Best Practices And Issues In Modeling, Management, And Regulatio

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  • ISBN:9780470390146
  • Editorial: Wiley & Sons Ltd.
  • Fecha de la edición:
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  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:498
  • Idiomas:Inglés,Ingles

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This book consists of chapters by contributors (well-known professors, practitioners, and consultants from large and well respected money management firms within this area) offering the latest research in the OpRisk area. The chapters highlight how operational risk helps firms survive and prosper by giving readers the latest, cutting-edge techniques in OpRisk management. Topics discussed in this book include: Basel Accord II, getting ready for the New Basel III, Extreme Value Theory, and the new capital requirements and regulations in the banking sector in relation to financial reporting (including developing concepts such as OpRisk Insurance which wasn't a part of the Basel II framework). The book further discussed quantitative and qualitative aspects of OpRisk, as well as fraud and applications to the fund industry.

Pt. 1 Operational Risk Measurement: Quantitative Approaches
Ch. 1 Modeling Operational Risk Based on Multiple Experts' Opinions by Jean-Philippe Peters and Georges Hubner 3
Ch. 2 Consistent Quantitative Operational Risk Measurement by Andreas A. Jobst 23
Ch. 3 Operational Risk Based on Complementary Loss Evaluations by Andrea Giacomelli and Loriana Pelizzon 69
Ch. 4 Can Operational Risk Models Deal with Unprecedented Large Banking Losses? by Duc Pham-Hi 85
Ch. 5 Identifying and Mitigating Perceived Risks In the Bank Service Chain: A New formalization Effort to Address the Intangible and Heterogeneous Natures of Knowledge-Based Services by Magali Dubosson and Emmanuel Fragniere 97
Ch. 6 Operational Risk and Stock Market Returns: Evidence from Turkey by M. Nihat Solakoglu and K. Ahmet Kose 115
Pt. 2 Operational Risk Measurement: Quantitative Approaches
Ch. 7 Integrating Op Risk into Total VaR by Niklas Wagner and Thomas Wenger 131
Ch. 8 Importance Sampling Techniques for Large Quantile Estimation in the Advanced Measurement Approach by Marco Bee and Giuseppe Espa 155
Ch. 9 One-Sided Cross-Validation for Density Estimation with an Application to Operational Risk by Maria Dolores Martinez Miranda and Jens Perch Nielsen and Stefan A. Sperlich 177
Ch. 10 Multivariate Models for Operational Risk: A Copula Approach Using Extreme Value Theory and Poisson Shock Models by Omar Rachedi and Dean Fantazzini 197
Ch. 11 First-Order Approximations to Operational Risk: Dependence and Consequences by Klaus Bocker and Claudia Kluppelberg 219
Pt. 3 Operational Risk Management and Mitigation
Ch. 12 Integrating "Management" into "OpRisk Management" by Wilhelm K. Kross 248
Ch. 13 Operational Risk Management: An Emergent Industry by Kimberly D. Krawiec 271
Ch. 14 OpRisk Insurance as a Net Value Generator by Wilhelm K. Kross and Werner Gleissner

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