Operational Risk Toward Basel III: Best Practices and Issues in Modeling, Management, and Regulation
About the Editor.
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).