Operational Risk Capital Models

Author : Rafael Cavestany,Brenda Boultwood,Laureano F. Escudero
Publisher : Unknown
Page : 459 pages
File Size : 55,8 Mb
Release : 2015
Category : Financial risk management
ISBN : 1782722017

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Operational Risk Capital Models by Rafael Cavestany,Brenda Boultwood,Laureano F. Escudero Pdf

"Operational Risk Capital Models is a guide for the implementation of state of the art operational risk capital models suitable for regulatory approval. For insurers, Solvency II implementation has created the need, in both highly developed and less developed markets, for the development of these models that help to better understand risks, safe capital and compliance. For the banking industry, regulators in many countries in Africa, Asia and Latin America (as well as Europe) are pressing their local banks to implement advanced operational risk capital models. Banks that have made early implementation are looking to improve their capital models with new advances to match the increasing regulatory requirements. Operational Risk Capital Models enables you to model your operational risk capital to ensure the model meets regulatory standards. It describes the process end to end, from the capture of the required data to the modelling and VaR calculation, as well as the integration of capital results into your institution's daily risk management." --Contratapa.

Author : Patrick Naim,Laurent Condamin
Publisher : John Wiley & Sons
Page : 327 pages
File Size : 49,8 Mb
Release : 2019-05-28
Category : Business & Economics
ISBN : 9781119508502

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Operational Risk Modeling in Financial Services by Patrick Naim,Laurent Condamin Pdf

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.

Author : Anna S. Chernobai,Svetlozar T. Rachev,Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 415 pages
File Size : 50,9 Mb
Release : 2008-05-14
Category : Business & Economics
ISBN : 9780470410547

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Operational Risk by Anna S. Chernobai,Svetlozar T. Rachev,Frank J. Fabozzi Pdf

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.

Author : Claudio Franzetti
Publisher : CRC Press
Page : 413 pages
File Size : 55,8 Mb
Release : 2016-04-19
Category : Business & Economics
ISBN : 1439844771

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Operational Risk Modelling and Management by Claudio Franzetti Pdf

Taking into account the standards of the Basel Accord, Operational Risk Modelling and Management presents a simulation model for generating the loss distribution of operational risk. It also examines a multitude of management issues that must be considered when adjusting the quantitative results of a comprehensive model. The book emphasizes techniques that can be understood and applied by practitioners. In the quantitative portions of the text, the author supplies key concepts and definitions without stating theorems or delving into mathematical proofs. He also offers references for readers looking for further background information. In addition, the book includes a Monte Carlo simulation of risk capital in the form of a run-through example of risk calculations based on data from a quantitative impact study. Since the computations are too complicated for a scripting language, a prototypical software program can be downloaded from www.garrulus.com Helping you navigate the tricky world of risk calculation and management, this book presents two main building blocks for determining how much capital needs to be reserved for operational risk. It employs the loss distribution approach as a model for calculating the risk capital figure and explains risk mitigation through management and management’s actuations.

Author : Anna S. Chernobai,Svetlozar T. Rachev,Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 328 pages
File Size : 46,9 Mb
Release : 2007-06-15
Category : Business & Economics
ISBN : UCSD:31822034636894

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Operational Risk by Anna S. Chernobai,Svetlozar T. Rachev,Frank J. Fabozzi Pdf

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

Author : Anonim
Publisher : Lulu.com
Page : 294 pages
File Size : 50,5 Mb
Release : 2004
Category : Bank capital
ISBN : 9789291316694

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International Convergence of Capital Measurement and Capital Standards by Anonim Pdf

Author : S. Scandizzo
Publisher : Springer
Page : 242 pages
File Size : 48,9 Mb
Release : 2016-07-01
Category : Business & Economics
ISBN : 9781137436962

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The Validation of Risk Models by S. Scandizzo Pdf

This book is a one-stop-shop reference for risk management practitioners involved in the validation of risk models. It is a comprehensive manual about the tools, techniques and processes to be followed, focused on all the models that are relevant in the capital requirements and supervisory review of large international banks.

Author : Catalina Bolance,Montserrat Guillén,Jim Gustafsson,Jens Perch Nielsen
Publisher : CRC Press
Page : 236 pages
File Size : 49,7 Mb
Release : 2012-02-15
Category : Business & Economics
ISBN : 9781439895931

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Quantitative Operational Risk Models by Catalina Bolance,Montserrat Guillén,Jim Gustafsson,Jens Perch Nielsen Pdf

Using real-life examples from the banking and insurance industries, Quantitative Operational Risk Models details how internal data can be improved based on external information of various kinds. Using a simple and intuitive methodology based on classical transformation methods, the book includes real-life examples of the combination of internal dat

Author : Marcelo G. Cruz
Publisher : John Wiley & Sons
Page : 360 pages
File Size : 41,7 Mb
Release : 2002-03-12
Category : Business & Economics
ISBN : STANFORD:36105110283939

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Modeling, Measuring and Hedging Operational Risk by Marcelo G. Cruz Pdf

Worldwide banks are keen to find ways of effectively measuring and managing operational risk , yet many find themselves poorly equipped to do this. Operational risk includes concerns about such issues as transaction processing errors, liability situations, and back-office failure. Measuring and Modelling Operational Risk focuses on the measuring and modelling techniques banks and investment companies need to quantify operational risk and provides practical, sensible solutions for doing so. * Author is one of the leading experts in the field of operational risk. * Interest in the field is growing rapidly and this is the only book that focuses on the quantitative measuring and modelling of operational risk. * Includes case vignettes and real-world examples based on the author's extensive experience.

Author : Andrea Sironi,Andrea Resti
Publisher : John Wiley & Sons
Page : 820 pages
File Size : 52,8 Mb
Release : 2007-05-21
Category : Business & Economics
ISBN : 9780470029787

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Risk Management and Shareholders' Value in Banking by Andrea Sironi,Andrea Resti Pdf

This book presents an integrated framework for risk measurement, capital management and value creation in banks. Moving from the measurement of the risks facing a bank, it defines criteria and rules to support a corporate policy aimed at maximizing shareholders' value. Parts I - IV discuss different risk types (including interest rate, market, credit and operational risk) and how to assess the amount of capital they absorb by means of up-to-date, robust risk-measurement models. Part V surveys regulatory capital requirements: a special emphasis is given to the Basel II accord, discussing its economic foundations and managerial implications. Part VI presents models and techniques to calibrate the amount of economic capital at risk needed by the bank, to fine-tune its composition, to allocate it to risk-taking units, to estimate the "fair" return expected by shareholders, to monitor the value creation process. Risk Management and Shareholders' Value in Banking includes: * Value at Risk, Monte Carlo models, Creditrisk+, Creditmetrics and much more * formulae for risk-adjusted loan pricing and risk-adjusted performance measurement * extensive, hands-on Excel examples are provided on the companion website www.wiley.com/go/rmsv * a complete, up-to-date introduction to Basel II * focus on capital allocation, Raroc, EVA, cost of capital and other value-creation metrics

Author : Gareth W. Peters,Pavel V. Shevchenko
Publisher : John Wiley & Sons
Page : 1235 pages
File Size : 44,6 Mb
Release : 2015-05-21
Category : Mathematics
ISBN : 9781118909546

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Advances in Heavy Tailed Risk Modeling by Gareth W. Peters,Pavel V. Shevchenko Pdf

ADVANCES IN HEAVY TAILED RISK MODELING A cutting-edge guide for the theories, applications, and statistical methodologies essential to heavy tailed risk modeling Focusing on the quantitative aspects of heavy tailed loss processes in operational risk and relevant insurance analytics, Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk presents comprehensive coverage of the latest research on the theories and applications in risk measurement and modeling techniques. Featuring a unique balance of mathematical and statistical perspectives, the handbook begins by introducing the motivation for heavy tailed risk processes. A companion with Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk, the handbook provides a complete framework for all aspects of operational risk management and includes: Clear coverage on advanced topics such as splice loss models, extreme value theory, heavy tailed closed form loss distribution approach models, flexible heavy tailed risk models, risk measures, and higher order asymptotic approximations of risk measures for capital estimation An exploration of the characterization and estimation of risk and insurance modeling, which includes sub-exponential models, alpha-stable models, and tempered alpha stable models An extended discussion of the core concepts of risk measurement and capital estimation as well as the details on numerical approaches to evaluation of heavy tailed loss process model capital estimates Numerous detailed examples of real-world methods and practices of operational risk modeling used by both financial and non-financial institutions Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk is an excellent reference for risk management practitioners, quantitative analysts, financial engineers, and risk managers. The handbook is also useful for graduate-level courses on heavy tailed processes, advanced risk management, and actuarial science.

Author : Anonim
Publisher : Bharat Book Bureau
Page : 306 pages
File Size : 54,9 Mb
Release : 2003
Category : Default (Finance)
ISBN : CORNELL:31924103733972

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Advances in Operational Risk by Anonim Pdf

Building upon the seminal work established in the first best-selling edition, this fully revised multi-contributor title brings you right up-to-date on all the latest issues and developments in the area of operational risk management and the regulatory environment.

Author : Linda Allen,Jacob Boudoukh,Anthony Saunders
Publisher : John Wiley & Sons
Page : 312 pages
File Size : 53,5 Mb
Release : 2009-02-04
Category : Business & Economics
ISBN : 9781405142267

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Understanding Market, Credit, and Operational Risk by Linda Allen,Jacob Boudoukh,Anthony Saunders Pdf

A step-by-step, real world guide to the use of Value at Risk (VaR) models, this text applies the VaR approach to the measurement of market risk, credit risk and operational risk. The book describes and critiques proprietary models, illustrating them with practical examples drawn from actual case studies. Explaining the logic behind the economics and statistics, this technically sophisticated yet intuitive text should be an essential resource for all readers operating in a world of risk. Applies the Value at Risk approach to market, credit, and operational risk measurement. Illustrates models with real-world case studies. Features coverage of BIS bank capital requirements.

Author : Jack L. King
Publisher : Wiley
Page : 0 pages
File Size : 52,9 Mb
Release : 2001-04-25
Category : Business & Economics
ISBN : 0471852090

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Operational Risk by Jack L. King Pdf

Operational risk is emerging as the third leg of an institutional risk strategy for financial institutions. Now recognized as a potential source of financial waste, operational risk has become the subject of surveys, analysis, and the search for a comprehenvise set of definitions and a shared framework. Written by a leading expert on operational risk measurement, this important work puts forth a cradle-to-grave hands-on approach that concentrates on measurement of risk in order to provide the needed feedback for managing and mitigating it. Using both theoretical and practical material, he lays out a foundation theory that can be applied and refined for application in the financial sector and beyond which includes a new technique called Delta-EVT(trademark). This technique is a combination of two existing methods which provides for the complete measurement of operational risk loss. The book contains comprehensive step-by-step descriptions based on real-world examples, formulas and procedures for calculating many common risk measures and building causal models using Bayesian networks, and background for understanding the history and motivation for addressing operational risk.

Author : Andreas Jobst
Publisher : International Monetary Fund
Page : 50 pages
File Size : 45,5 Mb
Release : 2007-11
Category : Business & Economics
ISBN : UCSD:31822034557967

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Consistent Quantitative Operational Risk Measurement and Regulation: Challenges of Model Specification, Data Collection, and Loss Reporting by Andreas Jobst Pdf

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.