Extremal Events In A Bank Operational Losses
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Extremal Events In A Bank Operational Losses
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Author : Hela Dahen
language : en
Publisher:
Release Date : 2010
Extremal Events In A Bank Operational Losses written by Hela Dahen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Combinatorial optimization categories.
Medizinischer Reiseratgeber
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Author : RADIX.
language : en
Publisher:
Release Date : 1996
Medizinischer Reiseratgeber written by RADIX. and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.
Multivariate Estimation For Operational Risk With Judicious Use Of Extreme Value Theory
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Author : Mahmoud El-Gamal
language : en
Publisher: CreateSpace
Release Date : 2014-12-31
Multivariate Estimation For Operational Risk With Judicious Use Of Extreme Value Theory written by Mahmoud El-Gamal and has been published by CreateSpace this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-12-31 with categories.
The Basel II Accord requires participating banks to quantify operational risk according to a matrix of business lines and event types. Proper modeling of univariate loss distributions and dependence structures across those categories of operational losses is critical for proper assessment of overall annual operational loss distributions. We illustrate our proposed methodology using Loss Data Collection Exercise 2004 (LDCE 2004) data on operational losses across five loss event types. We estimate a multivariate likelihood-based statistical model, which illustrates the benefits and risks of using extreme value theory (EVT) in modeling univariate tails of event type loss distributions. We find that abandoning EVT leads to unacceptably low estimates of risk capital requirements, while indiscriminate use of EVT to all data leads to unacceptably high ones. The judicious middle approach is to use EVT where dictated by data, and after separating clear outliers that need to be modeled via probabilistic scenario analysis. We illustrate all computational steps in estimation of marginal distributions and copula with an application to one bank's data (disguising magnitudes to ensure that bank's anonymity). The methods we use to overcome heretofore unexplored technical problems in estimation of codependence across risk types scales easily to larger models, encompassing not only operational, but also other types of risks.
When Statistics Fail
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Author : Maike Sundmacher
language : en
Publisher:
Release Date : 2007
When Statistics Fail written by Maike Sundmacher and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Extreme value theory (EVT) is regularly put forwarded by academics, practitioners and banking regulators as a methodology for measuring the likelihood of operational risk losses that have a very low probability of occurrence, but which have the potential for catastrophic outcomes in terms of financial losses. Given the potential for extreme events to threaten the financial viability of a banking institution, these groups argue that it makes sense to allocate capital against the likelihood of extreme events, and EVT forms the basis for such a capital allocation methodology. This paper challenges this proposition, pointing to recent large losses in banking institutions that either maimed or destroyed the institutions in question. In all of these cases organizational risk culture was at the centre of losses, and more specifically, the incentives inherent in remuneration schemes. It is argued that EVT is inadequate when it comes to identifying adverse cultural or incentive issues in banking institutions.
An Analysis Of The Feasibility Of An Extreme Operational Risk Pool For Banks
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Author : John R. Evans
language : en
Publisher:
Release Date : 2018
An Analysis Of The Feasibility Of An Extreme Operational Risk Pool For Banks written by John R. Evans and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Operational risk events in banks include extreme events with significant losses being incurred and with substantial impact on share prices. A pooling arrangement between banks that would be able to reduce overall costs and reduce share price impacts would seem desirable, but one of the major inhibiting factors to establish the feasibility of such a pooling arrangement is that statistical models of these extreme events are difficult to build with any reliability. This paper uses both quantitative and qualitative analysis of operational risk losses for European(EU) and US banks over the period 2008~2014 to establish the feasibility of creating a pooling arrangement between the banks and concludes that such an arrangement might be feasible but would require compulsory membership of the pool and capping of losses.
Extreme Events In Finance
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Author : Francois Longin
language : en
Publisher: John Wiley & Sons
Release Date : 2016-09-30
Extreme Events In Finance written by Francois Longin and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-09-30 with Business & Economics categories.
A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance and a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets Extensive references in order to provide readers with resources for further study Discussions on using R packages to compute the value of risk and related quantities The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance.
Extreme Events In Finance
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Author : Francois Longin
language : en
Publisher: John Wiley & Sons
Release Date : 2016-10-17
Extreme Events In Finance written by Francois Longin and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-17 with Business & Economics categories.
A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance and a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets Extensive references in order to provide readers with resources for further study Discussions on using R packages to compute the value of risk and related quantities The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance.
Measuring Operational And Reputational Risk
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Author : Aldo Soprano
language : en
Publisher: John Wiley & Sons
Release Date : 2010-12-03
Measuring Operational And Reputational Risk written by Aldo Soprano and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12-03 with Business & Economics categories.
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.
Operational Risk
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Author : Anna S. Chernobai
language : en
Publisher: John Wiley & Sons
Release Date : 2008-05-14
Operational Risk written by Anna S. Chernobai and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-05-14 with Business & Economics categories.
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.
Consistent Quantitative Operational Risk Measurement And Regulation Challenges Of Model Specification Data Collection And Loss Reporting
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Author : Andreas Jobst
language : en
Publisher: International Monetary Fund
Release Date : 2007-11
Consistent Quantitative Operational Risk Measurement And Regulation Challenges Of Model Specification Data Collection And Loss Reporting written by Andreas Jobst and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-11 with Business & Economics categories.
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.