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The Quantification Of Operational Risk Using Internal Data Relevant External Data And Expert Opinion
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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 The Structural Modelling of Operational Risk Via Bayesian Inference by : Pavel V. Shevchenko
Download or read book The Structural Modelling of Operational Risk Via Bayesian Inference written by Pavel V. Shevchenko and published by . This book was released on 2014 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: To meet the Basel II regulatory requirements for the Advanced Measurement Approaches, the bank's internal model must include the use of internal data, relevant external data, scenario analysis and factors reflecting the business environment and internal control systems. Quantification of operational risk cannot be based only on historical data but should involve scenario analysis. Historical internal operational risk loss data have limited ability to predict future behaviour moreover, banks do not have enough internal data to estimate low frequency high impact events adequately. Historical external data are difficult to use due to different volumes and other factors. In addition, internal and external data have a survival bias, since typically one does not have data of all collapsed companies. The idea of scenario analysis is to estimate frequency and severity of risk events via expert opinions taking into account bank environment factors with reference to events that have occurred (or may have occurred) in other banks. Scenario analysis is forward looking and can reflect changes in the banking environment. It is important to not only quantify the operational risk capital but also provide incentives to business units to improve their risk management policies, which can be accomplished through scenario analysis. By itself, scenario analysis is very subjective but combined with loss data it is a powerful tool to estimate operational risk losses. Bayesian inference is a statistical technique well suited for combining expert opinions and historical data. In this paper, we present examples of the Bayesian inference methods for operational risk quantification.
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 287 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 A 'Toy' Model for Operational Risk Quantification Using Credibility Theory by : Hans Buřhlmann
Download or read book A 'Toy' Model for Operational Risk Quantification Using Credibility Theory written by Hans Buřhlmann and published by . This book was released on 2015 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: To meet the Basel II regulatory requirements for the Advanced Measurement Approaches in operational risk, the bank's internal model should make use of the internal data, relevant external data, scenario analysis and factors reflecting the business environment and internal control systems. One of the unresolved challenges in operational risk is combining of these data sources appropriately. In this paper we focus on quantification of the low frequency high impact losses exceeding some high threshold. We suggest a full credibility theory approach to estimate frequency and severity distributions of these losses by taking into account bank internal data, expert opinions and industry data.
Book Synopsis Modelling Operational Risk Using Bayesian Inference by : Pavel V. Shevchenko
Download or read book Modelling Operational Risk Using Bayesian Inference written by Pavel V. Shevchenko and published by Springer Science & Business Media. This book was released on 2011-01-19 with total page 311 pages. Available in PDF, EPUB and Kindle. Book excerpt: The management of operational risk in the banking industry has undergone explosive changes over the last decade due to substantial changes in the operational environment. Globalization, deregulation, the use of complex financial products, and changes in information technology have resulted in exposure to new risks which are very different from market and credit risks. In response, the Basel Committee on Banking Supervision has developed a new regulatory framework for capital measurement and standards for the banking sector. This has formally defined operational risk and introduced corresponding capital requirements. Many banks are undertaking quantitative modelling of operational risk using the Loss Distribution Approach (LDA) based on statistical quantification of the frequency and severity of operational risk losses. There are a number of unresolved methodological challenges in the LDA implementation. Overall, the area of quantitative operational risk is very new and different methods are under hot debate. This book is devoted to quantitative issues in LDA. In particular, the use of Bayesian inference is the main focus. Though it is very new in this area, the Bayesian approach is well suited for modelling operational risk, as it allows for a consistent and convenient statistical framework for quantifying the uncertainties involved. It also allows for the combination of expert opinion with historical internal and external data in estimation procedures. These are critical, especially for low-frequency/high-impact operational risks. This book is aimed at practitioners in risk management, academic researchers in financial mathematics, banking industry regulators and advanced graduate students in the area. It is a must-read for anyone who works, teaches or does research in the area of financial risk.
Book Synopsis Measuring Operational and Reputational Risk by : Aldo Soprano
Download or read book Measuring Operational and Reputational Risk written by Aldo Soprano and published by John Wiley & Sons. This book was released on 2010-12-03 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: How to apply operational risk theory to real-life banking data Modelling Operational and Reputational Risks shows practitioners the best models to use in a given situation, according to the type of risk an organization is facing. Based on extensive applied research on operational risk models using real bank datasets, it offers a wide range of various testing models and fitting techniques for financial practitioners. With this book, professionals will have a foundation for measuring and predicting these important intangibles. Aldo Soprano (Madrid, Spain) is Group Head of operational risk management at UniCredit Group.
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 Fundamental Aspects of Operational Risk and Insurance Analytics by : Marcelo G. Cruz
Download or read book Fundamental Aspects of Operational Risk and Insurance Analytics written by Marcelo G. Cruz and published by John Wiley & Sons. This book was released on 2015-01-20 with total page 928 pages. Available in PDF, EPUB and Kindle. Book excerpt: A one-stop guide for the theories, applications, and statistical methodologies essential to operational risk Providing a complete overview of operational risk modeling and relevant insurance analytics, Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk offers a systematic approach that covers the wide range of topics in this area. Written by a team of leading experts in the field, the handbook presents detailed coverage of the theories, applications, and models inherent in any discussion of the fundamentals of operational risk, with a primary focus on Basel II/III regulation, modeling dependence, estimation of risk models, and modeling the data elements. Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk begins with coverage on the four data elements used in operational risk framework as well as processing risk taxonomy. The book then goes further in-depth into the key topics in operational risk measurement and insurance, for example diverse methods to estimate frequency and severity models. Finally, the book ends with sections on specific topics, such as scenario analysis; multifactor modeling; and dependence modeling. A unique companion with Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk, the handbook also features: Discussions on internal loss data and key risk indicators, which are both fundamental for developing a risk-sensitive framework Guidelines for how operational risk can be inserted into a firm’s strategic decisions A model for stress tests of operational risk under the United States Comprehensive Capital Analysis and Review (CCAR) program A valuable reference for financial engineers, quantitative analysts, risk managers, and large-scale consultancy groups advising banks on their internal systems, the handbook is also useful for academics teaching postgraduate courses on the methodology of operational risk.
Book Synopsis Operational Risk Assessment by : Brendon Young
Download or read book Operational Risk Assessment written by Brendon Young and published by John Wiley & Sons. This book was released on 2010-12-03 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: Operational risk assessment The Commercial Imperative of a More Forensic and Transparent Approach Brendon Young and Rodney Coleman “Brendon Young and Rodney Coleman's book is extremely timely. There has never been a greater need for the financial industry to reassess the way it looks at risk. [...] They are right to draw attention to the current widespread practices of risk management, which [...] have allowed risk to become underpriced across the entire industry.” Rt Hon John McFall MP, Chairman, House of Commons Treasury Committee Failure of the financial services sector to properly understand risk was clearly demonstrated by the recent 'credit crunch'. In its 2008 Global Stability Report, the IMF sharply criticised banks and other financial institutions for the failure of risk management systems, resulting in excessive risk-taking. Financial sector supervision and regulation was also criticised for lagging behind shifts in business models and rapid innovation. This book provides investors with a sound understanding of the approaches used to assess the standing of firms and determine their true potential (identifying probable losers and potential longer-term winners). It advocates a 'more forensic' approach towards operational risk management and promotes transparency, which is seen as a facilitator of competition and efficiency as well as being a barrier to fraud, corruption and financial crime. Risk assessment is an integral part of informed decision making, influencing strategic positioning and direction. It is fundamental to a company’s performance and a key differentiator between competing management teams. Increasing complexity is resulting in the need for more dynamic, responsive approaches to the assessment and management of risk. Not all risks can be quantified; however, it remains incumbent upon management to determine the impact of possible risk-events on financial statements and to indicate the level of variation in projected figures. To begin, the book looks at traditional methods of risk assessment and shows how these have developed into the approaches currently being used. It then goes on to consider the more advanced forensic techniques being developed, which will undoubtedly increase understanding. The authors identify 'best practice' and address issues such as the importance of corporate governance, culture and ethics. Insurance as a mitigant for operational risk is also considered. Quantitative and qualitative risk assessment methodologies covered include: Loss-data analysis; extreme value theory; causal analysis including Bayesian Belief Networks; control risk self-assessment and key indicators; scenario analysis; and dynamic financial analysis. Views of industry insiders, from organisations such as Standard & Poors, Fitch, Hermes, USS, UN-PRI, Deutsche Bank, and Alchemy Partners, are presented together with those from experts at the FSA, the International Accounting Standards Board (IASB), and the Financial Reporting Council. In addition to investors, this book will be of interest to actuaries, rating agencies, regulators and legislators, as well as to the directors and risk managers of financial institutions in both the private and public sectors. Students requiring a comprehensive knowledge of operational risk management will also find the book of considerable value.
Book Synopsis Risk Management and Financial Institutions by : John C. Hull
Download or read book Risk Management and Financial Institutions written by John C. Hull and published by John Wiley & Sons. This book was released on 2023-02-08 with total page 836 pages. Available in PDF, EPUB and Kindle. Book excerpt: RISK MANAGEMENT AND FINANCIAL INSTITUTIONS THE GOLD STANDARD IN FINANCIAL RISK MANAGEMENT TEXTBOOKS In the newly revised sixth edition of Risk Management and Financial Institutions, celebrated risk and derivatives expert John C. Hull delivers an incisive and comprehensive discussion of financial risk and financial institution regulation. In the book, you’ll learn to understand the financial markets, the risks they pose to various kinds of financial institutions, and how those risks are affected by common regulatory structures. This book blends discussion of best practices in risk management with holistic treatments of how financial institutions are regulated. It explores market, credit, liquidity, model, climate, cyber, and operational risk. This latest edition also offers: Updated ancillary and digital materials covering all the latest content, including software, practice questions, and teaching supplements Access to an updated website that reflects the new content Fulsome coverage of the most important financial market developments since the publication of the fifth edition, including regulatory changes, the growing importance of climate risk, the use of machine learning models, and the disappearance of LIBOR A must-have resource for undergraduate and graduate students of business and finance, Risk Management and Financial Institutions, Sixth Edition, cements this celebrated text as the gold standard in risk management resources.
Book Synopsis Using External Data in Operational Risk by : Jim Gustafsson
Download or read book Using External Data in Operational Risk written by Jim Gustafsson and published by . This book was released on 2007 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a method to combine expert opinion on the likelihood of under-reporting with an operational risk dataset: Under-reporting means that not all losses are identified and that incorrect distributional assumptions may be made and ultimately an incorrect assessment made of capital required. Our approach can be applied to help insurers and other financial services companies make better assessments of capital requirements for operational risk using either external or internal sources. We conclude that operational risk capital evaluation can be significantly biased if under-reporting is ignored.
Book Synopsis Risk Management and Financial Institutions, + Web Site by : John Hull
Download or read book Risk Management and Financial Institutions, + Web Site written by John Hull and published by John Wiley & Sons. This book was released on 2012-05-08 with total page 674 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text takes risk management theory and explains it in a 'this is how you do it' manner for practical application in today's financial world.
Book Synopsis Investment Risk Management by : Harold Kent Baker
Download or read book Investment Risk Management written by Harold Kent Baker and published by Oxford University Press, USA. This book was released on 2015 with total page 709 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment Risk Management provides an overview of developments in risk management and a synthesis of research on the subject. The chapters examine ways to alter exposures through measuring and managing risk exposures and provide an understanding of the latest strategies and trends within risk management.
Book Synopsis E-business Technology and Strategy by : Marzia Zaman
Download or read book E-business Technology and Strategy written by Marzia Zaman and published by Springer. This book was released on 2010-09-27 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: The International Conference on E-business Technology & Strategy (CETS) provides a peer-reviewed forum for researchers from across the globe to share contemporary research on developments in the fields of e-business, information technology and business strategy. It seeks to promote effective and vibrant networking among researchers and practitioners from around the world who are concerned about the effective management of information technology in organizations. This network of researchers views fostering the development of emerging scholars in the information technology and e-business fields as its primary task. Consequently the conference is designed to provide a venue for researchers to get substantive and beneficial feedback on their work. There were 134 contributions submitted to CETS 2010. After in-depth discussions, 29 high-quality contributions were selected for publication in this volume. The authors are from Canada, USA, China, Japan, India and Malaysia. We thank all the authors who submitted papers, the Program Committee members, and the external reviewers. We also thank all the local people who were instrumental in making this edition of CETS another very successful event. In particular, we are very grateful to Ying Xie, who was responsible for the local arrangements. Special gratitude goes to the publishing editor, Leonie Kunz, who managed the complexity of information and communication aspects. Furthermore, we thank the many students who volunteered on the organization team, as well as the IT services of Carleton University.
Book Synopsis Operational Risk Management by : Ron S. Kenett
Download or read book Operational Risk Management written by Ron S. Kenett and published by John Wiley & Sons. This book was released on 2011-06-20 with total page 339 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Handbook of Solvency for Actuaries and Risk Managers by : Arne Sandström
Download or read book Handbook of Solvency for Actuaries and Risk Managers written by Arne Sandström and published by CRC Press. This book was released on 2016-04-19 with total page 1084 pages. Available in PDF, EPUB and Kindle. Book excerpt: A one-stop shop for actuaries and risk managers, this handbook covers general solvency and risk management topics as well issues pertaining to the European Solvency II project. It focuses on the valuation of assets and liabilities, the calculation of capital requirement, and the calculation of the standard formula for the Solvency II project. The author describes valuation and investment approaches, explains how to develop models and measure various risks, and presents approaches for calculating minimum capital requirements based on CEIOPS final advice. Updates on solvency projects and issues are available at www.SolvencyII.nu
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 2019-03-28 with total page 320 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.
