Modeling, Measuring & Hedging Operational Risk
Gebonden Engels 2002 9780471515609Samenvatting
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.
Specificaties
Lezersrecensies
Inhoudsopgave
<br /> PART I: DATABASE MODELING
<br /> Database Modeling
<br /> PART II: STOCHASTIC MODELING
<br /> Severity Distributions
<br /> Extreme Value Theory
<br /> Frequency Distributions
<br /> The Operational Risk VaR
<br /> Stochastic Processes in Operational Risk
<br /> PART III: CAUSAL MODELS
<br /> Causal Models : Applying Econometrics and Time Series Statistics to Operational Risk
<br /> Non–Linear Models in Operational Risk
<br /> Bayesian Techniques in Operational Risk
<br /> PART IV: OPERATIONAL RISK MANAGEMENT
<br /> Operational Risk Reporting, Control and Management
<br /> – Stress Tests and Scenario Analysis in Operational Risk
<br /> PART V: HEDGING OPERATIONAL RISK
<br /> Operational Risk Derivatives
<br /> Developing an OR Hedging Program
<br /> PART VI: OPERATIONAL RISK REGULATORY CAPITAL
<br /> Operational Risk Regulatory Capital
<br /> PART VII: MEASURING "OTHER RISKS" –
<br /> FOREGONE REVENUE MEASUREMENT MODELS
<br /> An Enterprise–Wide Model for Measuring Reputational Risk
<br /> – Measuring Concentration (or Key Personnel) Risk
<br /> – Using Real Options in Modeling and Measuring Operational and ′Other′ Risks
<br /> APPENDIX –
<br /> Valuing Networks –
<br /> Understanding the basics of e–ventures valuation
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