9780470390146

Operational Risk Toward Basel III : Best Practices and Issues in Modeling, Management, and Regulation

by
  • ISBN13:

    9780470390146

  • ISBN10:

    047039014X

  • Edition: 1st
  • Format: Hardcover
  • Copyright: 2009-03-03
  • Publisher: Wiley
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Supplemental Materials

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  • The New copy of this book will include any supplemental materials advertised. Please check the title of the book to determine if it should include any access cards, study guides, lab manuals, CDs, etc.

Summary

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 concepts such as OpRisk Insurance which wasn't a part of the Basel II framework). The book further discussed quantitative and qualitative aspects of OpRisk, as well as fraud and applications to the fund industry.

Author Biography

Greg N. Gregoriou, PhD, is Professor of Finance in the School of Business and Economics at the State University of New York at Plattsburgh. He has written over fifty articles on hedge funds and managed futures in various peer-reviewed publications. In addition to a multitude of publications with a variety of publishers, Gregoriou is author of the following Wiley books: Stock Market Liquidity; International Corporate Governance After Sarbanes-Oxley; Commodity Trading Advisors; Hedge Funds: Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation; and Evaluating Hedge Fund and CTA Performance.

Table of Contents

Forewordp. ix
About the Editorp. xi
Acknowledgmentsp. xiii
About the Contributorsp. xv
Operational Risk Measurement: Qualitative Approaches
Modeling Operational Risk Based on Multiple Experts' Opinionsp. 3
Consistent Quantitative Operational Risk Measurementp. 23
Operational Risk Based on Complementary Loss Evaluationsp. 69
Can Operational Risk Models Deal with Unprecedented Large Banking Losses?p. 85
Identifying and Mitigating Perceived Risks in the Bank Service Chain: A New Formalization Effort to Address the Intangible and Heterogeneous Natures of Knowledge-Based Servicesp. 97
Operational Risk and Stock Market Returns: Evidence from Turkeyp. 115
Operational Risk Measurement: Quantitative Approaches
Integrating Op Risk into Total Varp. 131
Importance Sampling Techniques for Large Quantile Estimation in the Advanced Measurement Approachp. 155
One-Sided Cross-Validation for Density Estimation with an Application to Operational Riskp. 177
Multivariate Models for Operational Risk: A Copula Approach Using Extreme Value Theory and Poisson Shock Modelsp. 197
First-Order Approximations to Operational Risk: Dependence and Consequencesp. 219
Operational Risk Management and Mitigation
Integrating "Management" into "OpRisk Management"p. 249
Operational Risk Management: An Emergent Industryp. 271
OpRisk Insurance as a Net Value Generatorp. 289
Operational Risk Versus Capital Requirements under New Italian Banking Capital Regulation: Are Small Banks Penalized?p. 311
Simple Measures for Operational Risk Reduction? An Assessment of Implications and Drawbacksp. 337
Issues in Operational Risk Regulation and the Fund Industry
Toward an Economic and Regulatory Benchmarking Indicator for Banking Systemsp. 361
Operational Risk Disclosure in Financial Services Firmsp. 381
Operational Risks in Payment and Securities Settlement Systems: A Challenge for Operators and Regulatorsp. 397
Actual and Potential Use of Unregulated Financial Institutions for Transnational Crimep. 413
Case Studies in Hedge Fund Operational Risks: From Amaranth to Wood Riverp. 435
A Risk of Ruin Approach for Evaluating Commodity Trading Advisorsp. 453
Identifying and Mitigating Valuation Risk in Hedge Fund Investmentsp. 465
Indexp. 479
Table of Contents provided by Ingram. All Rights Reserved.

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