Operational Risk Modelling and Analysis : Theory and Practice - Cruz, Marcelo

Operational Risk Modelling and Analysis : Theory and Practice

Marcelo Cruz

Yayınevi: Risk Books

Yayın tarihi: 07/2004

ISBN: 9781904339342

Ciltli | İngilizce | 360 Sayfa |

Tür: İş Yönetimi

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Table of Contents

SECTION 1 - DATABASE MODELLING, REGULATORY AND TECHNOLOGY ISSUES
Introduction
Marcelo Cruz
RiskMaths
1 Operational Risk - Management Based on the Current Loss Data Situation
Agatha Kalhoff
Marcus Haas
BII
University of Frankfurt
2 Tackling the Insufficiency of Loss Data for the Quantification of Operational Risk
Marcus Haas
Thomas Kaiser
University of Frankfurt
KPMG
3 Contract Management and Operational Risk
Kristiina Vares
Swedish School of Economics and Business Administration
4 Basel II and Operational Risk - An Overview
Carolyn V. Currie
University of Technology, Sydney
5 Implementing Operational Risk Solutions
Deborah Williams
Financial Insights
SECTION 2 - RISK MODELLING AND MEASUREMENT
Introduction
Marcelo Cruz
RiskMaths
6 Integration of Qualitative and Quantitative Operational Risk Data: A Bayesian Approach
Paolo Giudici
University of Pavia
7 Stable Modelling of Operational Risk
Anna Chernobai, Svetlozar Rachev
University of California
8 Towards Operational Risk Management
Kaj Nystrom, Jimmy Skoglund
Swedbank
9 A Copula-Extreme Value Theory Approach for Modelling Operational Risk
Annalisa Di Clemente
Claudio Romano
University of Rome
Capitalia Bank Holding
10 Cyclicality in the Catastrophic Risk of Financial Institutions
Linda Allen, Turan G. Bali, Yi Tang
Zicklin School of Business
11 Using Stratified Sampling Methods to Improve Percentile Estimates in the Context of Risk Measurement
Neil Hereford, Geoffrey Shuetrim
KPMG
12 Adequate Capital and Stress Testing for Operational Risks
Reimer Kuhn
Peter Neu
King's College London
Dresdner Bank AG
SECTION 3 - CASE STUDIES OF IMPLEMENTATION OF OPERATIONAL RISK PROJECTS IN LARGE FINANCIAL INSTITUTIONS
Introduction
Marcelo Cruz
RiskMaths
13 The JPMorganChase Operational Risk Environment
JPMorgan Chase
14 Overall Large Bank Operational Risk Framework
Duncan Fairley, David McCall
HBOS
15 Implementing an Integrated Operational Risk Framework
Sok Hui Chng, Him Chuan Lim
DBS Group

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