Operational Risk Toward Basel III Best Practices and Issues in Modeling, Management, and Regulation
by Gregoriou, Greg N.Edition: 1st
Format: Hardcover
Pub. Date: 2009-03-03
Publisher(s): Wiley
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Summary
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.
Author Biography
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.
Table of Contents
| Foreword | p. ix |
| About the Editor | p. xi |
| Acknowledgments | p. xiii |
| About the Contributors | p. xv |
| Operational Risk Measurement: Qualitative Approaches | |
| Modeling Operational Risk Based on Multiple Experts' Opinions | p. 3 |
| Consistent Quantitative Operational Risk Measurement | p. 23 |
| Operational Risk Based on Complementary Loss Evaluations | p. 69 |
| Can Operational Risk Models Deal with Unprecedented Large Banking Losses? | p. 85 |
| 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 | p. 97 |
| Operational Risk and Stock Market Returns: Evidence from Turkey | p. 115 |
| Operational Risk Measurement: Quantitative Approaches | |
| Integrating Op Risk into Total Var | p. 131 |
| Importance Sampling Techniques for Large Quantile Estimation in the Advanced Measurement Approach | p. 155 |
| One-Sided Cross-Validation for Density Estimation with an Application to Operational Risk | p. 177 |
| Multivariate Models for Operational Risk: A Copula Approach Using Extreme Value Theory and Poisson Shock Models | p. 197 |
| First-Order Approximations to Operational Risk: Dependence and Consequences | p. 219 |
| Operational Risk Management and Mitigation | |
| Integrating "Management" into "OpRisk Management" | p. 249 |
| Operational Risk Management: An Emergent Industry | p. 271 |
| OpRisk Insurance as a Net Value Generator | p. 289 |
| Operational Risk Versus Capital Requirements under New Italian Banking Capital Regulation: Are Small Banks Penalized? | p. 311 |
| Simple Measures for Operational Risk Reduction? An Assessment of Implications and Drawbacks | p. 337 |
| Issues in Operational Risk Regulation and the Fund Industry | |
| Toward an Economic and Regulatory Benchmarking Indicator for Banking Systems | p. 361 |
| Operational Risk Disclosure in Financial Services Firms | p. 381 |
| Operational Risks in Payment and Securities Settlement Systems: A Challenge for Operators and Regulators | p. 397 |
| Actual and Potential Use of Unregulated Financial Institutions for Transnational Crime | p. 413 |
| Case Studies in Hedge Fund Operational Risks: From Amaranth to Wood River | p. 435 |
| A Risk of Ruin Approach for Evaluating Commodity Trading Advisors | p. 453 |
| Identifying and Mitigating Valuation Risk in Hedge Fund Investments | p. 465 |
| Index | p. 479 |
| Table of Contents provided by Ingram. All Rights Reserved. |
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