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Operational Risk Towards Basel III

Best Practices and Issues in Modeling, Management, and Regulation
BuchGebunden
528 Seiten
Englisch
Wiley & Sonserschienen am20.03.20091. Auflage
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.mehr
Verfügbare Formate
BuchGebunden
EUR93,50
E-BookEPUB2 - DRM Adobe / EPUBE-Book
EUR60,99
E-BookPDF2 - DRM Adobe / Adobe Ebook ReaderE-Book
EUR60,99

Produkt

KlappentextThis 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.
Details
ISBN/GTIN978-0-470-39014-6
ProduktartBuch
EinbandartGebunden
Erscheinungsjahr2009
Erscheinungsdatum20.03.2009
Auflage1. Auflage
Seiten528 Seiten
SpracheEnglisch
Gewicht755 g
Artikel-Nr.11834710
Rubriken
GenreWirtschaft

Inhalt/Kritik

Inhaltsverzeichnis
Foreword ix About the Editor xi Acknowledgments xiii About the Contributors xv Part One Operational Risk Measurement: Qualitative Approaches Chapter 1 Modeling Operational Risk Based on Multiple Experts´ Opinions 3Jean-Philippe Peters and Georges Hübner Chapter 2 Consistent Quantitative Operational Risk Measurement 23Andreas A. Jobst Chapter 3 Operational Risk Based on Complementary Loss Evaluations 69Andrea Giacomelli and Loriana Pelizzon Chapter 4 Can Operational Risk Models Deal with Unprecedented Large Banking Losses? 85Duc 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 97Magali Dubosson and Emmanuel Fragnière Chapter 6 Operational Risk and Stock Market Returns: Evidence from Turkey 115M. Nihat SolakoÄlu and K. Ahmet Köse Part Two Operational Risk Measurement: Quantitative Approaches Chapter 7 Integrating Op Risk into Total VaR 131Niklas Wagner and Thomas Wenger Chapter 8 Importance Sampling Techniques for Large Quantile Estimation in the Advanced Measurement Approach 155Marco Bee and Giuseppe Espa Chapter 9 One-Sided Cross-Validation for Density Estimation with an Application to Operational Risk 177María 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 197Omar Rachedi and Dean Fantazzini Chapter 11 First-Order Approximations to Operational Risk: Dependence and Consequences 219Klaus Böcker and Claudia Klüppelberg Part Three Operational Risk Management and Mitigation Chapter 12 Integrating Management" into OpRisk Management" 249Wilhelm K. Kross Chapter 13 Operational Risk Management: An Emergent Industry 271Kimberly D. Krawiec Chapter 14 OpRisk Insurance as a Net Value Generator 289Wilhelm K. Kross and Werner Gleissner Chapter 15 Operational Risk Versus Capital Requirements under New Italian Banking Capital Regulation: Are Small Banks Penalized? 311Simona Cosma, Giampaolo Gabbi, and Gianfausto Salvadori Chapter 16 Simple Measures for Operational Risk Reduction? An Assessment of Implications and Drawbacks 337Silke 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 361John L. Simpson, John Evans, and Jennifer Westaway Chapter 18 Operational Risk Disclosure in Financial Services Firms 381Guy 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 397Daniela Russo and Pietro Stecconi Chapter 20 Actual and Potential Use of Unregulated Financial Institutions for Transnational Crime 413Carolyn Vernita Currie Chapter 21 Case Studies in Hedge Fund Operational Risks: From Amaranth to Wood River 435Keith H. Black Chapter 22 A Risk of Ruin Approach for Evaluating Commodity Trading Advisors 453Greg N. Gregoriou and Fabrice Douglas Rouah Chapter 23 Identifying and Mitigating Valuation Risk in Hedge Fund Investments 465Meredith A. Jones Index 479mehr

Autor

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.
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Ed. by Greg N. Gregoriou