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Modeling, Measuring and Hedging Operational Risk

Modeling, Measuring and Hedging Operational Risk

Marcelo G. Cruz

ISBN: 978-0-471-51560-9

Mar 2002

346 pages

Select type: Hardcover

In Stock

$160.00

Description

Worldwide banks are keen to find ways of effectively measuring and managing operational risk , yet many find themselves poorly equipped to do this. Operational risk includes concerns about such issues as transaction processing errors, liability situations, and back-office failure. Measuring and Modelling Operational Risk focuses on the measuring and modelling techniques banks and investment companies need to quantify operational risk and provides practical, sensible solutions for doing so.
* Author is one of the leading experts in the field of operational risk.
* Interest in the field is growing rapidly and this is the only book that focuses on the quantitative measuring and modelling of operational risk.
* Includes case vignettes and real-world examples based on the author's extensive experience.
Introduction
PART I: DATABASE MODELING
Database Modeling
PART II: STOCHASTIC MODELING
Severity Distributions
Extreme Value Theory
Frequency Distributions
The Operational Risk VaR
Stochastic Processes in Operational Risk
PART III: CAUSAL MODELS
Causal Models : Applying Econometrics and Time Series Statistics to Operational Risk
Non-Linear Models in Operational Risk
Bayesian Techniques in Operational Risk
PART IV: OPERATIONAL RISK MANAGEMENT
Operational Risk Reporting, Control and Management
- Stress Tests and Scenario Analysis in Operational Risk
PART V: HEDGING OPERATIONAL RISK
Operational Risk Derivatives
Developing an OR Hedging Program
PART VI: OPERATIONAL RISK REGULATORY CAPITAL
Operational Risk Regulatory Capital
PART VII: MEASURING "OTHER RISKS" -
FOREGONE REVENUE MEASUREMENT MODELS
An Enterprise-Wide Model for Measuring Reputational Risk
- Measuring Concentration (or Key Personnel) Risk
- Using Real Options in Modeling and Measuring Operational and 'Other' Risks
APPENDIX -
Valuing Networks -
Understanding the basics of e-ventures valuation