Quantification of Operational Risk under Basel II

The book presents arguments that are critical of the Basel II Accord, particularly the advanced measurement approach to operational risk. It is argued that the advanced measurement approach is not viable in terms of costs and benefits and is likely to distract financial institutions from the real task of managing operational risk.

Produk Detail:

  • Author : I. Moosa
  • Publisher : Springer
  • Pages : 268 pages
  • ISBN : 0230595146
  • Rating : 4/5 from 21 reviews
CLICK HERE TO GET THIS BOOKQuantification of Operational Risk under Basel II

Quantification of Operational Risk under Basel II

Quantification of Operational Risk under Basel II
  • Author : I. Moosa
  • Publisher : Springer
  • Release : 31 October 2008
GET THIS BOOKQuantification of Operational Risk under Basel II

The book presents arguments that are critical of the Basel II Accord, particularly the advanced measurement approach to operational risk. It is argued that the advanced measurement approach is not viable in terms of costs and benefits and is likely to distract financial institutions from the real task of managing operational risk.

The Quantification of Operational Risk Using Internal Data, Relevant External Data and Expert Opinion

The Quantification of Operational Risk Using Internal Data, Relevant External Data and Expert Opinion
  • Author : Dominik Lambrigger
  • Publisher : Unknown Publisher
  • Release : 11 August 2022
GET THIS BOOKThe Quantification of Operational Risk Using Internal Data, Relevant External Data and Expert Opinion

To quantify an operational risk capital charge under Basel II, many banks adopt a Loss Distribution Approach. Under this approach, quantification of the frequency and severity distributions of operational risk involves the bank's internal data, expert opinions and relevant external data. In this paper we suggest a new approach, based on a Bayesian inference method, that allows for a combination of these three sources of information to estimate the parameters of the risk frequency and severity distributions.

Operational Risk Modeling in Financial Services

Operational Risk Modeling in Financial Services
  • Author : Patrick Naim,Laurent Condamin
  • Publisher : Wiley
  • Release : 08 April 2019
GET THIS BOOKOperational Risk Modeling in Financial Services

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

Operational Risk Management

Operational Risk Management
  • Author : I. Moosa
  • Publisher : Springer
  • Release : 03 July 2007
GET THIS BOOKOperational Risk Management

Written by an experienced academic and practitioner, Operational Risk Management fills a gap in the information available on the Basel 2 Accord and offers valuable insights into the nature of operational risk.

Operational Risk

Operational Risk
  • Author : Anna S. Chernobai,Svetlozar T. Rachev,Frank J. Fabozzi
  • Publisher : John Wiley & Sons
  • Release : 15 June 2007
GET THIS BOOKOperational Risk

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

Measurement and Quantification of Operational Risk

Measurement and Quantification of Operational Risk
  • Author : D. Tripati Rao
  • Publisher : Unknown Publisher
  • Release : 11 August 2022
GET THIS BOOKMeasurement and Quantification of Operational Risk

Oft-repeated catastrophic business failures and Basel II requirement of capital charges for operational risk (OR) have increased the awareness about OR. While the policy authorities are keen on banks adopting international best practices, yet measurement and quantification of OR has sparked a debate worldwide. While highlighting the difficulties in quantifying OR, we briefly recall the present methods for measuring and modeling OR as prescribed by the Basel committee. Using full information content of real-time operational loss data of a large

Operational Risk

Operational Risk
  • Author : Andreas Jobst
  • Publisher : International Monetary Fund
  • Release : 01 October 2007
GET THIS BOOKOperational Risk

This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel II"). Operational risk is commonly defined as the risk of loss resulting from inadequate or failed internal processes and information systems, from misconduct by people or from unforeseen external events. Our analysis informs an integrated assessment of the quantification of operational risk exposure and the consistency of current capital rules on

Operational Risk Management in Financial Services

Operational Risk Management in Financial Services
  • Author : Anthony Tarantino
  • Publisher : John Wiley and Sons
  • Release : 16 December 2010
GET THIS BOOKOperational Risk Management in Financial Services

Banking is at the forefront of the effort to quantify and measure operational risk and as such can be role model beyond the financial services industry. The Basel Committee of the Bank for International Settlements (BIS) has created a new capital accord, known as Basel II. Basel II requires banks to establish an operational risk management (ORM) framework and compute an explicit capital charge for operational risk once it is adopted. This chapter from Goverance, Risk, and Compliance Handbook, by

Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory

Quantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory
  • Author : Arindam Chaudhuri,Soumya K. Ghosh
  • Publisher : Springer
  • Release : 31 October 2015
GET THIS BOOKQuantitative Modeling of Operational Risk in Finance and Banking Using Possibility Theory

This book offers a comprehensive guide to the modelling of operational risk using possibility theory. It provides a set of methods for measuring operational risks under a certain degree of vagueness and impreciseness, as encountered in real-life data. It shows how possibility theory and indeterminate uncertainty-encompassing degrees of belief can be applied in analysing the risk function, and describes the parametric g-and-h distribution associated with extreme value theory as an interesting candidate in this regard. The book offers a complete

Modelling Extremal Events

Modelling Extremal Events
  • Author : Paul Embrechts,Claudia Klüppelberg,Thomas Mikosch
  • Publisher : Springer Science & Business Media
  • Release : 14 March 2013
GET THIS BOOKModelling Extremal Events

"A reader's first impression on leafing through this book is of the large number of graphs and diagrams, used to illustrate shapes of distributions...and to show real data examples in various ways. A closer reading reveals a nice mix of theory and applications, with the copious graphical illustrations alluded to. Such a mixture is of course dear to the heart of the applied probabilist/statistician, and should impress even the most ardent theorists." --MATHEMATICAL REVIEWS

Value at Risk and Bank Capital Management

Value at Risk and Bank Capital Management
  • Author : Francesco Saita
  • Publisher : Elsevier
  • Release : 26 July 2010
GET THIS BOOKValue at Risk and Bank Capital Management

Value at Risk and Bank Capital Management offers a unique combination of concise, expert academic analysis of the latest technical VaR measures and their applications, and the practical realities of bank decision making about capital management and capital allocation. The book contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books. It discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital

Operational Risk Capital Models

Operational Risk Capital Models
  • Author : Rafael Cavestany,Brenda Boultwood,Laureano F. Escudero
  • Publisher : Unknown Publisher
  • Release : 11 August 2022
GET THIS BOOKOperational Risk Capital Models

"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

Measuring and Managing Operational Risk

Measuring and Managing Operational Risk
  • Author : Paola Leone,Pasqualina Porretta,Mario Vellella
  • Publisher : Springer
  • Release : 26 December 2017
GET THIS BOOKMeasuring and Managing Operational Risk

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