Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk, Marcelo G. Cruz,Gareth W. Peters,Pavel V. Shevchen
Автор: Brink Название: Operational Risk ISBN: 0333968689 ISBN-13(EAN): 9780333968680 Издательство: Springer Рейтинг: Цена: 11219 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Operational risk is one of the oldest risks in the banking sector, and yet regulatory bodies including the Basle Committee are still working on a regulatory framework. Using qualitative analysis, the author suggests risk identification procedures and provides tools for the analysis, quantification and management of risk.
Описание: Reduce or prevent risk failure losses with new and emerging technologies Rogues of Wall Street analyzes the recent risk failures and errors that have overwhelmed Wall Street for the past decade.
Описание: Two cutting?€“edge guides for the theories, applications, and statistical methodologies essential to operational risk and heavy tailed risk modeling Focusing on the quantitative aspects of heavy tailed loss processes in operational risk and relev
Описание: Focusing on the quantitative aspects of heavy tailed loss processes in operational risk and relevant insurance analytics, Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk presents comprehensive coverage of the latest research on the theories and applications in risk measurement and modeling techniques.
Описание: In banking regulation, tools are needed to quantify risk and calculate the amount of capital reserve required to mitigate such risk. This book offers a complete model for the quantification of so-called operational risks.
Описание: This book is concerned with the efficient and effective management of operational risk; its primary aims being to improve the quality and stability of earnings and to reduce the probability of failure, by optimizing risk. Risk assessment is an integral part of informed decision making, influencing strategic positioning and direction. It is fundamental to a company's performance and a key differentiator between competing management teams. Not all risks can be quantified, however it does remain incumbent upon management to determine the impact of possible risk-events on financial statements and to indicate the level of variation in projected figures. The financial services sector, and the banking industry in particular, is being subjected to more demanding legislative and regulatory requirements, including the introduction of risk based regulatory capital and the drive towards enhanced market discipline through greater transparency. This book seeks to promote transparency - a new requirement under Pillar three of the new Basel Accord (Basel II), which is seen as a facilitator of competition and efficiency as well as being a barrier to fraud, corruption and financial crime. It shows financial institutions how to provide investors with a sound understanding of the approaches used to assess the standing of firms and determine their true potential (identifying probable future winners and losers). Initially, the book looks at traditional methods of risk assessment and shows how these have developed into the approaches currently being used. It then goes on to consider the more advanced forensic techniques being developed, which will undoubtedly increase understanding. 1.0 Introduction 1.1 Executive Overview: Responsiveness, Competitive Advantage, and Survival 1.2 Understanding the Increasingly Complex and Competitive Banking Environment 1.3 Strategy and Competitive Positioning 1.4 Identifying the Winners & Losers 1.5 A Portfolio Approach - its Limitations 1.6 Regulatory Requirements & Consequences 1.7 Simplifying and Embedding Risk Management 1.8 A Forensic Approach 2.0 Fundamental Analysis 2.1 Capital Adequacy 2.2 Asset Quality 2.3 Management 2.4 Earnings 2.5 Liquidity 2.6 Sovereign Assessments 3.0 The Rating Agencies 7 Pillars 3.1 Operating Environment (Competitive, Regulatory, Institutional Support) 3.2 Ownership & Governance 3.3 Franchise Value 3.4 Recurring Earning Power 3.5 Risk Profile and Risk Management 3.6 Economic Capital Analysis 3.7 Management Priorities & Strategies 4.0 From Qualitative to Quantitative Assessment 4.1 Introduction to Risk & Default Analysis 4.2 Gambler's Ruin 4.3 KMV Market Methodology 4.4 Control Risk Self Assessment (From RAG assessments to Causal Models) 4.5 KPIs & KRIs 4.6 Scenario Analysis 4.7 Business & Environmental Assessments 5.0 OpRisk Quantification & Modelling 5.1 Data & Data Analysis 5.1.1 Data Accuracy, Completeness and Appropriateness 5.1.2 Data Quality Standards and Consistency with Accountancy Data 5.1.3 Representiveness of Data used for Model Development and Validation 5.1.4 Data sources and Definition of Default 5.1.5 Granularity 5.1.6 External Data 5.2 Models & Modelling 5.2.1 Stochastic Modelling 184.108.40.206 Frequency Models 220.127.116.11 Quantile Models 18.104.22.168 Severity Models 22.214.171.124 Combined Models 126.96.36.199 Extreme Value Theory (EVT) Modelling 5.2.2 Causal Modelling 188.8.131.52 Data Mining 184.108.40.206 Neural Networks 220.127.116.11 BBNs 5.3 Correlation 5.4 Validation (Back-Testing, Stress Testing, Benchmarking) 5.5 Monte Carlo Simulation 5.6 Other Techniques 5.7 Enterprise-Wide Modelling 5.8 Use Test 5.9 Observed Best Practices 6.0 Financial Accounts and the Impact of Risk Volatility 6.1 Dynamic Financial Analysis 6.2 Economic Value Added 6.3 Discounted Cashflow Techniques 6.4 Long Term Investors Requirements 6.5 Enhanced Analytics and the Importance of Intangible Factors APPENDICES BJY Moody's paper Operational Risk Assessments of 30 banks CRSA forms - from Assess
Описание: Operational risk concerns issues like transaction processing errors, liability situations, and back-office failure. This text focuses on the measuring and modelling techniques banks and investment companies need to quantify operational risk and provides practical, sensible solutions for doing so.
Описание: Presents an exposition and a critique of the Basel II Accord, particularly the advanced measurement approach to operational risk. This book presents illustration of some complex ideas, such as the effect of correlation on the estimated capital charge. It deals with topics such as the subprime crisis and the Societe Generale fiasco.
Автор: Bolance Catalina Название: Quantitative Operational Risk Models ISBN: 1439895929 ISBN-13(EAN): 9781439895924 Издательство: Taylor&Francis Рейтинг: Цена: 8150 р. Наличие на складе: Невозможна поставка.
Using real-life examples from the banking and insurance industries, Quantitative Operational Risk Models details how internal data can be improved based on external information of various kinds. Using a simple and intuitive methodology based on classical transformation methods, the book includes real-life examples of the combination of internal data and external information.
A guideline for practitioners, the book begins with the basics of managing operational risk data to more sophisticated and recent tools needed to quantify the capital requirements imposed by operational risk. The book then covers statistical theory prerequisites, and explains how to implement the new density estimation methods for analyzing the loss distribution in operational risk for banks and insurance companies. In addition, it provides:
Simple, intuitive, and general methods to improve on internal operational risk assessment
Univariate event loss severity distributions analyzed using semiparametric models
Methods for the introduction of underreporting information
A practical method to combine internal and external operational risk data, including guided examples in SAS and R
Measuring operational risk requires the knowledge of the quantitative tools and the comprehension of insurance activities in a very broad sense, both technical and commercial. Presenting a nonparametric approach to modeling operational risk data, Quantitative Operational Risk Models offers a practical perspective that combines statistical analysis and management orientations.
Автор: Chris Frost Название: Operational Risk and Resilience, ISBN: 0750643951 ISBN-13(EAN): 9780750643955 Издательство: Elsevier Science Рейтинг: Цена: 15428 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Failures in risk management have made firms suffer significant commercial damage or even bankruptcy as a result. This book shows how risk management is a key management responsibility. It teaches about the application of operational risk management to a range of market sectors, and includes case studies and worked examples from around the world.
Описание: The management of operational risk in the banking industry has undergone explosive changes over the last decade due to substantial changes in the operational environment. Globalization, deregulation, the use of complex financial products, and changes in information technology have resulted in exposure to new risks which are very different from market and credit risks. In response, the Basel Committee on Banking Supervision has developed a new regulatory framework for capital measurement and standards for the banking sector. This has formally defined operational risk and introduced corresponding capital requirements.Many banks are undertaking quantitative modelling of operational risk using the Loss Distribution Approach (LDA) based on statistical quantification of the frequency and severity of operational risk losses. There are a number of unresolved methodological challenges in the LDA implementation. Overall, the area of quantitative operational risk is very new and different methods are under hot debate.This book is devoted to quantitative issues in LDA. In particular, the use of Bayesian inference is the main focus. Though it is very new in this area, the Bayesian approach is well suited for modelling operational risk, as it allows for a consistent and convenient statistical framework for quantifying the uncertainties involved. It also allows for the combination of expert opinion with historical internal and external data in estimation procedures. These are critical, especially for low-frequency/high-impact operational risks.This book is aimed at practitioners in risk management, academic researchers in financial mathematics, banking industry regulators and advanced graduate students in the area. It is a must-read for anyone who works, teaches or does research in the area of financial risk.
Автор: Jack L. King Название: Operational Risk: Measurement and Modelling ISBN: 0471852090 ISBN-13(EAN): 9780471852094 Издательство: Wiley Рейтинг: Цена: 12018 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This work brings together various theories and models in operational risk, presenting them in the context of real-life case studies. It seeks to be both a sourcebook of operational risk techniques and a user manual on how to apply them. Featuring numerous examples and case studies, the book compares each technique with relevant examples in investment banking, covering a variety of situations, including fraud, fire, and natural disaster.
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