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

ISBN: 978-0-470-39014-6
497 pages
March 2009
Operational Risk Toward Basel III: Best Practices and Issues in Modeling, Management, and Regulation (047039014X) cover image

Description

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.
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Table of Contents

Foreword.

About the Editor.

Acknowledgments.

About the Contributors.

PART 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 Solakoğlu 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.

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Author Information

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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