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eISBN : 9781405870511

Contents : Contributors : Carol Alexander, Dr. Ulrich Anders,Tony Blunden, Victor Dowd, Christos Hadjiemmanuil, Lloyd Hardin, Michael Haubenstock, Thomas Michael Leddy, Ralph Andrew Nash, Anthony Peccia, Jacques Pézier, Diane Reynolds, Kenneth Swenson, David Syer.

Contents
Foreword
Preface
Part I Regulation
1 The three pillars of operational risk
1.1 Introduction
1.2 Pillar 1
1.3 Pillar 2
1.4 Pillar 3
1.5 Insurance
1.6 Conclusion
2 A qualitative operational risk framework: guidance, structure and reporting
2.1 Introduction
2.2 Guidance
2.3 Management structure
2.4 Reporting
2.5 Conclusion
3 Measurement of operational risk: the Basel approach
3.1 Introduction
3.2 Development of the Basel Accord
3.3 Definition of operational risk
3.4 The Basic Indicator Approach
3.5 The Standardized Approach
3.6 Quantification of management quality
3.7 Conclusion
4 A constructive review of the Basel proposals on operational risk
4.1 Introduction
4.2 Critical examination of the Basel proposals
4.3 Analysis of reported operational loss data
4.4 Other supervisory proposals and conclusions
5 Legal risks and fraud: capital charges, control and insurance
5.1 The Basel definitions of operational risk and legal risk
5.2 The varied meanings of ‘legal risk'
5.3 Banks and the risk of fraud
5.4 Implications for the proposed capital charges for operational risk
5.5 Containing and managing legal risks and fraud
5.6 Insurance and the mitigation of losses from legal risks and fraud
6 Operational risk and insurance
6.1 Introduction
6.2 Definition of insurance: a working draft
6.3 Definition of operational risk
6.4 The mechanics and nature of insurance contracts
6.5 The present and future role of insurance in financial institutions
6.6 Conclusion
Part II Analysis
7 Statistical models of operational loss
7.1 Introduction
7.2 Operational risk types
7.3 Bayesian estimation
7.4 Introducing the Advanced Measurement Approaches
7.5 Analytic approximations to unexpected annual loss
7.6 Simulating the annual loss distribution
7.7 Aggregation and the total loss distribution
7.8 Conclusion
Appendix 7.1 Some remarks on the use of copulas in operational risk
8 The Loss Distribution Approach
8.1 What is the Loss Distribution Approach?
8.2 Basel requirements
8.3 Why use historical loss data?
8.4 Steps to modelling with LDA
8.5 Case study
8.6 Key assumptions
8.7 Advantages and limitations of the LDA
8.8 Issues for further research
8.9 Summary
9 A general simulation framework for operational loss distributions
9.1 Introduction
9.2 The regulatory landscape
9.3 Setting the stage
9.4 A simulation approach for operational risk
9.5 Example applications
Appendix 9.1 Loss models
Appendix 9.2 Model distributions
Appendix 9.3 More on actuarial models
10 The path to operational risk economic capital
10.1 Introduction
10.2 What is economic capital?
10.3 How to compute economic capital
10.4 How to derive a good economic capital model
10.5 Where to obtain good-quality input data
10.6 How to validate input data
10.7 How to validate the economic capital number
10.8 Summary
Part III Management
11 Scorecard approaches
11.1 Introduction
11.2 Why use a scorecard model?
11.3 Risks and controls
11.4 The scorecard approach
11.5 Model simulations
11.6 Quantification of gross and net risks
11.7 Risk appetite
11.8 Stress testing and scenario analysis
11.9 Conclusion
12 The operational risk management framework
12.1 Introduction
12.2 Defining operational risk
12.3 Strategy
12.4 The operational risk process
12.5 Infrastructure
12.6 Environment
12.7 The role of internal audit
12.8 Tying risk management into the business process
12.9 Success factors
12.10 Summary
13 Using operational risk models to manage operational risk
13.1 Introduction
13.2 Operational risk and reward
13.3 The integrated operational risk framework
13.4 Risk and control self-assessment
13.5 Exposures and losses
13.6 Gamma and the measure of operational risk
13.7 Sufficiency, relevancy and completeness of loss data
13.8 Scenario analysis
13.9 Operational risk classes and key risk drivers
13.10 Management applications of an operational risk model
13.11 Modelling and the new regulatory requirements
13.12 Summary
14 Managing operational risks with Bayesian networks
14.1 Introduction
14.2 Bayesian networks: useful references and web links
14.3 Introducing Bayesian networks
14.4 Application of Bayesian networks in banking and finance
14.5 Bayesian decision networks
14.6 Conclusion
15 Operational risk management
15.1 Introduction
15.2 Risk management – an integral part of good management
15.3 Nominal, ordinary and exceptional operational risks
15.4 An ordinary operational risk case study
15.5 Understanding exceptional operational risks
15.6 An exceptional operational risk case study
15.7 Conclusions
Appendix 15.1 A primer on utility theory
References
Index

Language : English

Location : Nice Library

Material : Electronic

Statement : Présent

Owner : Bibliothèque