Modeling Measuring And Hedging Operational Risk
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Modeling Measuring And Hedging Operational Risk
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Author : Marcelo G. Cruz
language : en
Publisher:
Release Date : 2003
Modeling Measuring And Hedging Operational Risk written by Marcelo G. Cruz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
Modeling Measuring And Hedging Operational Risk
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Author : Marcelo G. Cruz
language : en
Publisher: John Wiley & Sons
Release Date : 2002-03-12
Modeling Measuring And Hedging Operational Risk written by Marcelo G. Cruz 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 2002-03-12 with Business & Economics categories.
Operational risk concerns issues like transaction processing errors, liability situations, and back-office failure. This text focuses on the measuring and modelling techniques banks and investment companies need to quantify operational risk.
Modelling And Measurement Methods Of Operational Risk In Banking
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Author : Erich R. Utz
language : en
Publisher: Herbert Utz Verlag
Release Date : 2008
Modelling And Measurement Methods Of Operational Risk In Banking written by Erich R. Utz and has been published by Herbert Utz Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Modelling Operational Risk Using Bayesian Inference
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Author : Pavel V. Shevchenko
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-01-19
Modelling Operational Risk Using Bayesian Inference written by Pavel V. Shevchenko and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-01-19 with Business & Economics categories.
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.
Quantitative Operational Risk Models
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Author : Catalina Bolance
language : en
Publisher: CRC Press
Release Date : 2012-02-15
Quantitative Operational Risk Models written by Catalina Bolance and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-02-15 with Business & Economics categories.
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
Measuring And Managing Operational Risk
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Author : Paola Leone
language : en
Publisher: Springer
Release Date : 2017-12-26
Measuring And Managing Operational Risk written by Paola Leone and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-12-26 with Business & Economics categories.
This book covers Operational Risk Management (ORM), in the current context, and its new role in the risk management field. The concept of operational risk is subject to a wide discussion also in the field of ORM’s literature, which has increased throughout the years. By analyzing different methodologies that try to integrate qualitative and quantitative data or different measurement approaches, the authors explore the methodological framework, the assumptions, statistical tool, and the main results of an operational risk model projected by intermediaries. A guide for academics and students, the book also discusses the avenue of mitigation acts, suggested by the main results of the methodologies applied. The book will appeal to students, academics, and financial supervisory and regulatory authorities.
Operational Risk
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Author : Jack L. King
language : en
Publisher: Wiley
Release Date : 2001-04-25
Operational Risk written by Jack L. King and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-04-25 with Business & Economics categories.
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.
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 Modeling In Financial Services
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Author : Patrick Naim
language : en
Publisher: John Wiley & Sons
Release Date : 2019-03-28
Operational Risk Modeling In Financial Services written by Patrick Naim 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 2019-03-28 with Business & Economics categories.
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.