Operational Risk Toward Basel III
Best Practices and Issues in Modeling, Management, and Regulation
Ed. by Greg N. Gregoriou
Operational Risk Toward Basel III
Best Practices and Issues in Modeling, Management, and Regulation
Ed. by Greg N. Gregoriou
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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…mehr
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- Produktdetails
- Wiley Finance
- Verlag: Wiley & Sons
- 1. Auflage
- Seitenzahl: 528
- Erscheinungstermin: 1. März 2009
- Englisch
- Abmessung: 235mm x 157mm x 33mm
- Gewicht: 755g
- ISBN-13: 9780470390146
- ISBN-10: 047039014X
- Artikelnr.: 25445577
- Wiley Finance
- Verlag: Wiley & Sons
- 1. Auflage
- Seitenzahl: 528
- Erscheinungstermin: 1. März 2009
- Englisch
- Abmessung: 235mm x 157mm x 33mm
- Gewicht: 755g
- ISBN-13: 9780470390146
- ISBN-10: 047039014X
- Artikelnr.: 25445577
ONE: Operational Risk Measurement: Qualitative Approaches. CHAPTER 1:
Modeling Operational Risk Based on Multiple Experts' Opinions
(Jean-Philippe Peters and Georges Hübner). CHAPTER 2: Consistent
Quantitative Operational Risk Measurement (Andreas A. Jobst). CHAPTER 3:
Operational Risk Based on Complementary Loss Evaluations (Andrea Giacomelli
and Loriana Pelizzon). CHAPTER 4: Can Operational Risk Models Deal with
Unprecedented Large Banking Losses? (Duc Pham-Hi). CHAPTER 5: Identifying
and Mitigating Perceived Risks in the Bank Service Chain: A New
Formalization Effort to Address the Intangible and Heterogeneous Natures of
Knowledge-Based Services (Magali Dubosson and Emmanuel Fragnière). CHAPTER
6: Operational Risk and Stock Market Returns: Evidence from Turkey (M.
Nihat Solakolu and K. Ahmet Köse). PART TWO: Operational Risk Measurement:
Quantitative Approaches. CHAPTER 7: Integrating Op Risk into Total VaR
(Niklas Wagner and Thomas Wenger). CHAPTER 8: Importance Sampling
Techniques for Large Quantile Estimation in the Advanced Measurement
Approach (Marco Bee and Giuseppe Espa). CHAPTER 9: One-Sided
Cross-Validation for Density Estimation with an Application to Operational
Risk (María Dolores Martínez Miranda, Jens Perch Nielsen, and Stefan A.
Sperlich). CHAPTER 10: Multivariate Models for Operational Risk: A Copula
Approach Using Extreme Value Theory and Poisson Shock Models (Omar Rachedi
and Dean Fantazzini). CHAPTER 11: First-Order Approximations to Operational
Risk: Dependence and Consequences (Klaus Böcker and Claudia Klüppelberg).
PART THREE: Operational Risk Management and Mitigation. CHAPTER 12:
Integrating "Management" into "OpRisk Management" (Wilhelm K. Kross).
CHAPTER 13: Operational Risk Management: An Emergent Industry (Kimberly D.
Krawiec). CHAPTER 14: OpRisk Insurance as a Net Value Generator (Wilhelm K.
Kross and Werner Gleissner). CHAPTER 15: Operational Risk Versus Capital
Requirements under New Italian Banking Capital Regulation: Are Small Banks
Penalized? (Simona Cosma, Giampaolo Gabbi, and Gianfausto Salvadori).
CHAPTER 16: Simple Measures for Operational Risk Reduction? An Assessment
of Implications and Drawbacks (Silke N. Brandts and Nicole Branger). PART
FOUR: Issues in Operational Risk Regulation and the Fund Industry. CHAPTER
17: Toward an Economic and Regulatory Benchmarking Indicator for Banking
Systems (John L. Simpson, John Evans, and Jennifer Westaway). CHAPTER 18:
Operational Risk Disclosure in Financial Services Firms (Guy Ford, Maike
Sundmacher, Nigel Finch, and Tyrone M. Carlin). CHAPTER 19: Operational
Risks in Payment and Securities Settlement Systems: A Challenge for
Operators and Regulators (Daniela Russo and Pietro Stecconi). CHAPTER 20:
Actual and Potential Use of Unregulated Financial Institutions for
Transnational Crime (Carolyn Vernita Currie). CHAPTER 21: Case Studies in
Hedge Fund Operational Risks: From Amaranth to Wood River (Keith H. Black).
CHAPTER 22: A Risk of Ruin Approach for Evaluating Commodity Trading
Advisors (Greg N. Gregoriou and Fabrice Douglas Rouah). CHAPTER 23:
Identifying and Mitigating Valuation Risk in Hedge Fund Investments
(Meredith A. Jones). Index.
ONE: Operational Risk Measurement: Qualitative Approaches. CHAPTER 1:
Modeling Operational Risk Based on Multiple Experts' Opinions
(Jean-Philippe Peters and Georges Hübner). CHAPTER 2: Consistent
Quantitative Operational Risk Measurement (Andreas A. Jobst). CHAPTER 3:
Operational Risk Based on Complementary Loss Evaluations (Andrea Giacomelli
and Loriana Pelizzon). CHAPTER 4: Can Operational Risk Models Deal with
Unprecedented Large Banking Losses? (Duc Pham-Hi). CHAPTER 5: Identifying
and Mitigating Perceived Risks in the Bank Service Chain: A New
Formalization Effort to Address the Intangible and Heterogeneous Natures of
Knowledge-Based Services (Magali Dubosson and Emmanuel Fragnière). CHAPTER
6: Operational Risk and Stock Market Returns: Evidence from Turkey (M.
Nihat Solakolu and K. Ahmet Köse). PART TWO: Operational Risk Measurement:
Quantitative Approaches. CHAPTER 7: Integrating Op Risk into Total VaR
(Niklas Wagner and Thomas Wenger). CHAPTER 8: Importance Sampling
Techniques for Large Quantile Estimation in the Advanced Measurement
Approach (Marco Bee and Giuseppe Espa). CHAPTER 9: One-Sided
Cross-Validation for Density Estimation with an Application to Operational
Risk (María Dolores Martínez Miranda, Jens Perch Nielsen, and Stefan A.
Sperlich). CHAPTER 10: Multivariate Models for Operational Risk: A Copula
Approach Using Extreme Value Theory and Poisson Shock Models (Omar Rachedi
and Dean Fantazzini). CHAPTER 11: First-Order Approximations to Operational
Risk: Dependence and Consequences (Klaus Böcker and Claudia Klüppelberg).
PART THREE: Operational Risk Management and Mitigation. CHAPTER 12:
Integrating "Management" into "OpRisk Management" (Wilhelm K. Kross).
CHAPTER 13: Operational Risk Management: An Emergent Industry (Kimberly D.
Krawiec). CHAPTER 14: OpRisk Insurance as a Net Value Generator (Wilhelm K.
Kross and Werner Gleissner). CHAPTER 15: Operational Risk Versus Capital
Requirements under New Italian Banking Capital Regulation: Are Small Banks
Penalized? (Simona Cosma, Giampaolo Gabbi, and Gianfausto Salvadori).
CHAPTER 16: Simple Measures for Operational Risk Reduction? An Assessment
of Implications and Drawbacks (Silke N. Brandts and Nicole Branger). PART
FOUR: Issues in Operational Risk Regulation and the Fund Industry. CHAPTER
17: Toward an Economic and Regulatory Benchmarking Indicator for Banking
Systems (John L. Simpson, John Evans, and Jennifer Westaway). CHAPTER 18:
Operational Risk Disclosure in Financial Services Firms (Guy Ford, Maike
Sundmacher, Nigel Finch, and Tyrone M. Carlin). CHAPTER 19: Operational
Risks in Payment and Securities Settlement Systems: A Challenge for
Operators and Regulators (Daniela Russo and Pietro Stecconi). CHAPTER 20:
Actual and Potential Use of Unregulated Financial Institutions for
Transnational Crime (Carolyn Vernita Currie). CHAPTER 21: Case Studies in
Hedge Fund Operational Risks: From Amaranth to Wood River (Keith H. Black).
CHAPTER 22: A Risk of Ruin Approach for Evaluating Commodity Trading
Advisors (Greg N. Gregoriou and Fabrice Douglas Rouah). CHAPTER 23:
Identifying and Mitigating Valuation Risk in Hedge Fund Investments
(Meredith A. Jones). Index.