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Quantification Of Operational Risk Under Basel Ii
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Book Synopsis Operational Risk by : Anna S. Chernobai
Download or read book Operational Risk written by Anna S. Chernobai and published by John Wiley & Sons. This book was released on 2007-06-15 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Book Synopsis International Convergence of Capital Measurement and Capital Standards by :
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Operational Risk by : Anna S. Chernobai
Download or read book Operational Risk written by Anna S. Chernobai and published by John Wiley & Sons. This book was released on 2008-05-14 with total page 415 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 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.
Book Synopsis Quantification of Operational Risk under Basel II by : I. Moosa
Download or read book Quantification of Operational Risk under Basel II written by I. Moosa and published by Springer. This book was released on 2008-10-31 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Guide to Optimal Operational Risk and BASEL II by : Ioannis S. Akkizidis
Download or read book Guide to Optimal Operational Risk and BASEL II written by Ioannis S. Akkizidis and published by CRC Press. This book was released on 2005-11-01 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: Guide to Optimal Operational Risk and Basel II presents the key aspects of operational risk management that are also aligned with the Basel II requirements. This volume provides detailed guidance for the design and implementation of an efficient operational risk management system. It contains all elements of assessment, including operational risk i
Book Synopsis The Quantification of Operational Risk Using Internal Data, Relevant External Data and Expert Opinion by : Dominik Lambrigger
Download or read book The Quantification of Operational Risk Using Internal Data, Relevant External Data and Expert Opinion written by Dominik Lambrigger and published by . This book was released on 2014 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: To quantify an operational risk capital charge under Basel II, many banks adopt a Loss Distribution Approach. Under this approach, quantification of the frequency and severity distributions of operational risk involves the bank's internal data, expert opinions and relevant external data. In this paper we suggest a new approach, based on a Bayesian inference method, that allows for a combination of these three sources of information to estimate the parameters of the risk frequency and severity distributions.
Book Synopsis Operational Risk Modeling in Financial Services by : Patrick Naim
Download or read book Operational Risk Modeling in Financial Services written by Patrick Naim and published by John Wiley & Sons. This book was released on 2019-05-28 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: Transform your approach to oprisk modelling with a proven, non-statistical methodology Operational Risk Modeling in Financial Services provides risk professionals with a forward-looking approach to risk modelling, based on structured management judgement over obsolete statistical methods. Proven over a decade’s use in significant banks and financial services firms in Europe and the US, the Exposure, Occurrence, Impact (XOI) method of operational risk modelling played an instrumental role in reshaping their oprisk modelling approaches; in this book, the expert team that developed this methodology offers practical, in-depth guidance on XOI use and applications for a variety of major risks. The Basel Committee has dismissed statistical approaches to risk modelling, leaving regulators and practitioners searching for the next generation of oprisk quantification. The XOI method is ideally suited to fulfil this need, as a calculated, coordinated, consistent approach designed to bridge the gap between risk quantification and risk management. This book details the XOI framework and provides essential guidance for practitioners looking to change the oprisk modelling paradigm. Survey the range of current practices in operational risk analysis and modelling Track recent regulatory trends including capital modelling, stress testing and more Understand the XOI oprisk modelling method, and transition away from statistical approaches Apply XOI to major operational risks, such as disasters, fraud, conduct, legal and cyber risk The financial services industry is in dire need of a new standard — a proven, transformational approach to operational risk that eliminates or mitigates the common issues with traditional approaches. Operational Risk Modeling in Financial Services provides practical, real-world guidance toward a more reliable methodology, shifting the conversation toward the future with a new kind of oprisk modelling.
Book Synopsis Operational Risk Control with Basel II by : Dimitris N. Chorafas
Download or read book Operational Risk Control with Basel II written by Dimitris N. Chorafas and published by Elsevier. This book was released on 2003-10-06 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: Operational Risk Control with Basel II, provides a sound methodology for operational risk control and focuses on management risk and ways to avoid it. The book explains why and how information technology is a major operational risk and shows how to integrate cost control in the operational risk perspective. It aslo details analytical approaches to operational risk control, to help with scorecard developments, explains the distinction between High Frequency Low Risk and Low Frequency High Risk events and provides many case studeies from banking and insurance to demonstrate the attention operational risks deserve. Assists risk professionals in preparing their institution to comply with the New Capital Adequacy Framework issued by the Basel Committee on Banking Supervision, which becomes mandatory from January 1, 2006 Readers benefit from a significantly broader viewpoint on types of operational risks, operational risks controls, and results to be expected from operational risk management - compared to what the reader may gain from books previously published on this same topic
Download or read book Operational Risk written by Andreas Jobst and published by International Monetary Fund. This book was released on 2007-10-01 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Revisiting Risk-Weighted Assets by : Vanessa Le Leslé
Download or read book Revisiting Risk-Weighted Assets written by Vanessa Le Leslé and published by International Monetary Fund. This book was released on 2012-03-01 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Operational Risk Toward Basel III by : Greg N. Gregoriou
Download or read book Operational Risk Toward Basel III written by Greg N. Gregoriou and published by John Wiley & Sons. This book was released on 2009-03-03 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 givingreaders the latest, cutting-edge techniques in OpRisk management. Topics discussed include: Basel Accord II, getting ready for the New Basel III, Extreme Value Theory, 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.
Book Synopsis Consistent Quantitative Operational Risk Measurement and Regulation: Challenges of Model Specification, Data Collection, and Loss Reporting by : Andreas Jobst
Download or read book Consistent Quantitative Operational Risk Measurement and Regulation: Challenges of Model Specification, Data Collection, and Loss Reporting written by Andreas Jobst and published by International Monetary Fund. This book was released on 2007-11 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Amid increased size and complexity of the banking industry, operational risk has a greater potential to transpire in more harmful ways than many other sources of risk. This paper provides a succinct overview of the current regulatory framework of operational risk under the New Basel Capital Accord with a view to inform a critical debate about the influence of varying loss profiles and different methods of data collection, loss reporting, and model specification on the reliability of operational risk estimates and the consistency of risk-sensitive capital rules. The presented findings offer guidance on enhanced market practice and more effective prudential standards for operational risk measurement.
Book Synopsis Quantifying Operational Risk Within Banks According to Basel II by : M. R. A. Bakker
Download or read book Quantifying Operational Risk Within Banks According to Basel II written by M. R. A. Bakker and published by . This book was released on 2004 with total page 105 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Operational Risk. The Regulatory Requirements and Management Process by : Elvira Peters
Download or read book Operational Risk. The Regulatory Requirements and Management Process written by Elvira Peters and published by GRIN Verlag. This book was released on 2016-06-03 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Project Report from the year 2015 in the subject Business economics - Business Management, Corporate Governance, grade: 2,0, University of Kassel, language: English, abstract: During the last twenty years operational risk has gained in importance in the financial sector. Although this type of risk is definitely not new but rather one of the oldest, it has remained unconsidered for a relatively long time. However operational risks have always existed and do exist in the daily business ever since the foundation of every financial institution. Considering the increased complexity and global developments in the financial system as well as the recent extremely large losses caused by operational risk, this risk type has finally acquired a greater relevance. One of the most popular examples for the tremendous losses caused by operational risk is the collapse of the Barings Bank in the year 1995 due to an inadequate control system and serious failures in management and supervisory. Unlike other types of risks operational risks are very heterogeneous and diversified. The term includes a variety of meanings and range from employee errors, systems’ failures and frauds up to external events, such as fire or floods. Therefore the former definition of operational risk was a negative one, which stated what the term is not – e.g. credit, market or liquidity risk – it was the “other risks” basket (Utz 2006: 52). But this definition has proven to be “opaque and less than useful” (Carol 2003: 104) and is now obsolete. Since a consistent definition is absolutely necessary for a general framework for managing and controlling operational risks, the Basel Committee provided a more precise definition. It defines the operational risk as: “the risk of direct or indirect loss resulting from inadequate or failed internal processes, people and systems or from external events” (BCBS 2001: 2). This definition includes also the legal risk, but not the reputation risk and strategic risk. A lot of industry representatives applied this definition, hence it can now be assumed as the standard one. According to this definition, the operational risk can be divided into two main streams of risk: the external and the internal risk: The internal risk arises inside the institution, whereas the external risk arises outside the institution.
Book Synopsis Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory by : Arindam Chaudhuri
Download or read book Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory written by Arindam Chaudhuri and published by Springer. This book was released on 2015-10-31 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a comprehensive guide to the modelling of operational risk using possibility theory. It provides a set of methods for measuring operational risks under a certain degree of vagueness and impreciseness, as encountered in real-life data. It shows how possibility theory and indeterminate uncertainty-encompassing degrees of belief can be applied in analysing the risk function, and describes the parametric g-and-h distribution associated with extreme value theory as an interesting candidate in this regard. The book offers a complete assessment of fuzzy methods for determining both value at risk (VaR) and subjective value at risk (SVaR), together with a stability estimation of VaR and SVaR. Based on the simulation studies and case studies reported on here, the possibilistic quantification of risk performs consistently better than the probabilistic model. Risk is evaluated by integrating two fuzzy techniques: the fuzzy analytic hierarchy process and the fuzzy extension of techniques for order preference by similarity to the ideal solution. Because of its specialized content, it is primarily intended for postgraduates and researchers with a basic knowledge of algebra and calculus, and can be used as reference guide for research-level courses on fuzzy sets, possibility theory and mathematical finance. The book also offers a useful source of information for banking and finance professionals investigating different risk-related aspects.
Book Synopsis An Investigation of the Impact of Basel II on the Improvement in Risk Management Practice Globally by : Frédérik Arns
Download or read book An Investigation of the Impact of Basel II on the Improvement in Risk Management Practice Globally written by Frédérik Arns and published by GRIN Verlag. This book was released on 2007-09 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essay from the year 2006 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: A, University of Westminster (Westminster Business School), course: International Risk Management, 19 entries in the bibliography, language: English, abstract: The new Basel Accord will be introduced in 2007, this publication examines in how far the new package of regulations will benefit risk management globally. After evaluating contradictory points of view of several internationally active groups, the author comes to the conclusion that even though the final impact cannot yet be observed Basel II is likely to improve the current situation of risk management in the market.
Book Synopsis Risk Quantification by : Laurent Condamin
Download or read book Risk Quantification written by Laurent Condamin and published by John Wiley & Sons. This book was released on 2007-01-30 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a practical answer for the non-mathematician to all the questions any businessman always wanted to ask about risk quantification, and never dare to ask. Enterprise-wide risk management (ERM) is a key issue for board of directors worldwide. Its proper implementation ensures transparent governance with all stakeholders’ interests integrated into the strategic equation. Furthermore, Risk quantification is the cornerstone of effective risk management,at the strategic and tactical level, covering finance as well as ethics considerations. Both downside and upside risks (threats & opportunities) must be assessed to select the most efficient risk control measures and to set up efficient risk financing mechanisms. Only thus will an optimum return on capital and a reliable protection against bankruptcy be ensured, i.e. long term sustainable development. Within the ERM framework, each individual operational entity is called upon to control its own risks, within the guidelines set up by the board of directors, whereas the risk financing strategy is developed and implemented at the corporate level to optimise the balance between threats and opportunities, systematic and non systematic risks. This book is designed to equip each board member, each executives and each field manager, with the tool box enabling them to quantify the risks within his/her jurisdiction to all the extend possible and thus make sound, rational and justifiable decisions, while recognising the limits of the exercise. Beyond traditional probability analysis, used since the 18th Century by the insurance community, it offers insight into new developments like Bayesian expert networks, Monte-Carlo simulation, etc. with practical illustrations on how to implement them within the three steps of risk management, diagnostic, treatment and audit. With a foreword by Catherine Veret and an introduction by Kevin Knight.
