Operational Risk Modelling And Management

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Operational Risk Modelling and Management

Claudio Franzetti
Operational Risk Modelling and Management Book PDF

Author : Claudio Franzetti
Publisher : CRC Press
Page : 413 pages
File Size : 55,6 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.

Operational Risk Modeling in Financial Services

Patrick Naim,Laurent Condamin
Operational Risk Modeling in Financial Services Book PDF

Author : Patrick Naim,Laurent Condamin
Publisher : John Wiley & Sons
Page : 327 pages
File Size : 49,9 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.

Operational Risk

Jack L. King
Operational Risk Book PDF

Author : Jack L. King
Publisher : Wiley
Page : 0 pages
File Size : 44,8 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.

Operational Risk

Carol Alexander
Operational Risk Book PDF

Author : Carol Alexander
Publisher : Pearson Education
Page : 380 pages
File Size : 53,7 Mb
Release : 2003
Category : Business & Economics
ISBN : 0273659669

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Operational Risk by Carol Alexander Pdf

A comprehensive look at how to protect financial institutions from operational risk. The text provides answers to questions such as: Should financial institutions be concerned with operational risks?; and If so, how should they be assessed and intelligently integrated with other risks?

Modeling, Measuring and Hedging Operational Risk

Marcelo G. Cruz
Modeling Measuring and Hedging Operational Risk Book PDF

Author : Marcelo G. Cruz
Publisher : John Wiley & Sons
Page : 360 pages
File Size : 42,8 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.

Operational Risk Management

Ron S. Kenett,Yossi Raanan
Operational Risk Management Book PDF

Author : Ron S. Kenett,Yossi Raanan
Publisher : John Wiley & Sons
Page : 339 pages
File Size : 43,9 Mb
Release : 2011-06-20
Category : Business & Economics
ISBN : 9781119956723

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Operational Risk Management by Ron S. Kenett,Yossi Raanan Pdf

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.

Quantitative Operational Risk Models

Catalina Bolance,Montserrat Guillén,Jim Gustafsson,Jens Perch Nielsen
Quantitative Operational Risk Models Book PDF

Author : Catalina Bolance,Montserrat Guillén,Jim Gustafsson,Jens Perch Nielsen
Publisher : CRC Press
Page : 236 pages
File Size : 54,9 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

Operational Risk

Harry H. Panjer
Operational Risk Book PDF

Author : Harry H. Panjer
Publisher : John Wiley & Sons
Page : 460 pages
File Size : 52,6 Mb
Release : 2006-10-13
Category : Business & Economics
ISBN : 9780470051306

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Operational Risk by Harry H. Panjer Pdf

Discover how to optimize business strategies from both qualitative and quantitative points of view Operational Risk: Modeling Analytics is organized around the principle that the analysis of operational risk consists, in part, of the collection of data and the building of mathematical models to describe risk. This book is designed to provide risk analysts with a framework of the mathematical models and methods used in the measurement and modeling of operational risk in both the banking and insurance sectors. Beginning with a foundation for operational risk modeling and a focus on the modeling process, the book flows logically to discussion of probabilistic tools for operational risk modeling and statistical methods for calibrating models of operational risk. Exercises are included in chapters involving numerical computations for students' practice and reinforcement of concepts. Written by Harry Panjer, one of the foremost authorities in the world on risk modeling and its effects in business management, this is the first comprehensive book dedicated to the quantitative assessment of operational risk using the tools of probability, statistics, and actuarial science. In addition to providing great detail of the many probabilistic and statistical methods used in operational risk, this book features: * Ample exercises to further elucidate the concepts in the text * Definitive coverage of distribution functions and related concepts * Models for the size of losses * Models for frequency of loss * Aggregate loss modeling * Extreme value modeling * Dependency modeling using copulas * Statistical methods in model selection and calibration Assuming no previous expertise in either operational risk terminology or in mathematical statistics, the text is designed for beginning graduate-level courses on risk and operational management or enterprise risk management. This book is also useful as a reference for practitioners in both enterprise risk management and risk and operational management.

Operational Risk Management

Ariane Chapelle
Operational Risk Management Book PDF

Author : Ariane Chapelle
Publisher : John Wiley & Sons
Page : 272 pages
File Size : 41,8 Mb
Release : 2019-02-04
Category : Business & Economics
ISBN : 9781119549048

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Operational Risk Management by Ariane Chapelle Pdf

OpRisk Awards 2020 Book of the Year Winner! The Authoritative Guide to the Best Practices in Operational Risk Management Operational Risk Management offers a comprehensive guide that contains a review of the most up-to-date and effective operational risk management practices in the financial services industry. The book provides an essential overview of the current methods and best practices applied in financial companies and also contains advanced tools and techniques developed by the most mature firms in the field. The author explores the range of operational risks such as information security, fraud or reputation damage and details how to put in place an effective program based on the four main risk management activities: risk identification, risk assessment, risk mitigation and risk monitoring. The book also examines some specific types of operational risks that rank high on many firms' risk registers. Drawing on the author's extensive experience working with and advising financial companies, Operational Risk Management is written both for those new to the discipline and for experienced operational risk managers who want to strengthen and consolidate their knowledge.

Advances in Heavy Tailed Risk Modeling

Gareth W. Peters,Pavel V. Shevchenko
Advances in Heavy Tailed Risk Modeling Book PDF

Author : Gareth W. Peters,Pavel V. Shevchenko
Publisher : John Wiley & Sons
Page : 1235 pages
File Size : 49,5 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.

Operational Risk Modelling and Analysis

Marcelo Cruz
Operational Risk Modelling and Analysis Book PDF

Author : Marcelo Cruz
Publisher : Unknown
Page : 360 pages
File Size : 49,5 Mb
Release : 2004-01
Category : Financial institutions
ISBN : 1904339344

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Operational Risk Modelling and Analysis by Marcelo Cruz Pdf

The definitive journey into operational risk - this best-selling multi-contributor title will guide you with the identification, modelling, implementation, analysis and integration of operational risk into your overall risk management framework.

The Validation of Risk Models

S. Scandizzo
The Validation of Risk Models Book PDF

Author : S. Scandizzo
Publisher : Springer
Page : 242 pages
File Size : 42,9 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.

Operational Risk

Anna S. Chernobai,Svetlozar T. Rachev,Frank J. Fabozzi
Operational Risk Book PDF

Author : Anna S. Chernobai,Svetlozar T. Rachev,Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 328 pages
File Size : 54,8 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

Operational Risk

Anna S. Chernobai,Svetlozar T. Rachev,Frank J. Fabozzi
Operational Risk Book PDF

Author : Anna S. Chernobai,Svetlozar T. Rachev,Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 415 pages
File Size : 51,6 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.

Mastering Operational Risk

Tony Blunden,John Thirlwell
Mastering Operational Risk Book PDF

Author : Tony Blunden,John Thirlwell
Publisher : Pearson UK
Page : 350 pages
File Size : 40,7 Mb
Release : 2012-09-26
Category : Business & Economics
ISBN : 9780273748823

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Mastering Operational Risk by Tony Blunden,John Thirlwell Pdf

Operational risk is a constant concern for all businesses. It goes far beyond operations and process to encompass all aspects of business risk, including strategic and reputational risks. Within financial services, it became codified by the Basel Committee on Banking Supervision in the 1990s. It is something that needs to be taken seriously by all those involved in running, managing and leading companies. Mastering Operational Risk is a comprehensive guide which takes you from the basic elements of operational risk, through to its advanced applications. Focusing on practical aspects, the book gives you everything you need to help you understand what operational risk is, how it affects you and your business and provides a framework for managing it. Mastering Operational Risk: Shows you how to make the business case for operational risk, and how to develop effective company-wide policies Covers the essential basic concepts through to advanced managements practices Uses examples and case studies which cover the pitfalls and explains how to avoid them Provides scenario analysis and modelling techniques for you to apply to your business Operational risk arises in all businesses. It is a broad term and can relate to internal processes, people, and systems, as well as external events. All listed companies, charities and the public sector must make risk judgements and assessments and company managers have an increasing responsibility to ensure that these assessments are robust and that risk management is at the heart of their organisations. In this practical guide, Tony Blunden and John Thirlwell, recognised experts in risk management, show you how to manage operational risk and show why operational risk management really will add benefits to your business. Mastering Operational Risk includes: The business case for operational risk Risk and control assessment How to use operational risk indicators Reporting operational risk Modelling and stress-testing operational risk Business continuity and insurance Managing people risk Containing reputational damage