Akkizidis / Bouchereau Guide to Optimal Operational Risk and BASEL II

Erscheinungsjahr 2010
ISBN: 978-1-4200-3114-0
Verlag: Taylor & Francis
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 440 Seiten

Guide to Optimal Operational Risk and Basel II presents the key aspects of operational risk management that are also aligned with the Basel II requirements. This volume provides detailed guidance for the design and implementation of an efficient operational risk management system. It contains all elements of assessment, including operational risk identification, measurement, modeling, and monitoring analysis, along with evaluation analysis and the estimation of capital requirements.

The authors also address the managing and controlling of operational risks including operational risk profiling, risk optimization, cost & optimal resource allocation, decision-making, and design of optimal risk policies.

Divided into four parts, this book begins by introducing the idea of operational risks and how they affect financial organizations. This section also focuses on the main aspects of managing operational risks. The second part focuses on the requirements of an operational risk management framework according to the Basel II Accord. The third part focuses on all stages of operational risk assessment, and the fourth part focuses on the control and management stages. All of these stages combine to implement efficient and optimal operational risk management systems.

Zielgruppe

Operational Risk Managers/Officers, operational risk analysts/consultants, operations and business line managers/directors, chief risk officers, CIOs, IT Directors, chief information security officers, chief security officers, compliance officers, risk managers, heads of risk, heads of risk policy

Autoren/Hrsg.

Akkizidis, Ioannis S.

Bouchereau, Vivianne

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Betriebswirtschaft: Theorie & Allgemeines
• Mathematik | Informatik EDV | Informatik Technische Informatik Computersicherheit
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines

Inhaltsverzeichnis

OPERATIONAL RISK AND ITS MANAGEMENT
Operational Risks in Financial Organizations
Introduction
Operational Risks in Financial Organizations
Operational Risk Event Types
Characteristics of Operational Risks
Operational Risks and IT
Summary
References

Main Aspects of Operational Risk Management
Introduction
Main Aspects of Operational Risk Management
Operational Risk Management Framework
Quantification of Operational Risks
Testing and Verification
Enterprisewide Risk Management
Operational Risk Management Concerns
Key Players and Elements for Implementing Effective Operational Risk Management
Summary
References

OPERATIONAL RISK AND BASEL II
Operational Risk in Basel II
Introduction
The 1988 Basel Accord Versus the Basel II Accord
Operational Risk Management According to Basel II
The Three Pillars of Basel II
Pillar 1: Minimum Capital Requirements
Supervisory Review Process
Enhanced Disclosure - Market Discipline
The Ten Principles of Basel II
The Pillars' Action Points
Summary
References

Advanced Measurement Approach
Introduction
Advanced Measurement Approach
AMA Measuring System
AMA Framework
Supervisory Standards of the AMA
Qualifying Criteria for Risk Capital Calculation
Use of Insurance under the AMA
Summary
References

FRAMEWORKS FOR DESIGNING EFFICIENT OPERATIONAL RISK ASSESSMENT
Operational Risk Identification, Measurement, Modeling, and Monitoring Analysis
Introduction
Operational Risk Identification
Operational Risk and Performance Measurements
Operational Risk Modeling
Operational Risk Monitoring
Summary
References

Operational Risk Assessment via Evaluation Analysis
Introduction
Operational Risk Evaluation Analysis
Evaluating the Degree of Significance and Actual Values of Operational Risks
Measurements Values and Scales for Causes, Events, and
Consequences
Data Normalization
Estimating the Significance and Actual Value of an Operation
Beta Point for an Operational Risk or an Operation
Illustrating the Significance and Actual Values
Cluster Analysis as a Tool in the Evaluation Process
Clustering Approaches in Operational Risk
Equilibrium Identification Analysis for Operational Risk Management
Trend Analysis for Operational Risk
Evaluating the Severity of Operational Risks and Affected Operations
Estimating and Evaluating Economic Capital Reserves
Identifying Potential Losses
Extreme Value Theory to Operational Risk
Extreme Value Theory Approaches
Summary
References

FRAMEWORKS FOR DESIGNING AND IMPLEMENTING EFFICIENT OPERATIONAL RISK CONTROL AND MANAGEMENT SYSTEMS
Operational Risk Profiling
Introduction
Operational Risk Profiling
Defining the Value of Operational Risk Probability
Defining the Value of Operational Risk Impact
The Exposure of Operations to Operational Risks
The Operational Risk Profiling Matrix
Operational Risk Probability, Impact, and Exposure Analysis
Modeling and Monitoring the Operational Risk Profile
Clustering Analysis in Risk Profiling Analysis
Advanced Approaches for Decision Making Using Risk Profiling
Analysis
Representations of Operational Risk Profile
Summary
References

Operational Risk Optimization
Introduction
Operational Risk Optimization
Optimizing Operational Risks Based on Exposure-Correlation-Significant Analysis
Optimization Techniques in Operational Risk Control and Management
Defining the Cost for Optimal Operational Risk Management
Optimizing Resource Allocation for Operational Risk Management
Unconstrained and Constrained Optimization Analysis
Tuning, Adaptation, and Robustness of Optimal Operational Risk Systems
Summary
References

Framework for Decision Making and Designing
Optimal Risk Policies
Introduction
Planning and Scheduling Operational Risk Actions and Policies
Controlling Operational Risks
Internal Operational Risk Control
Business Continuity or Contingency Planning through
Optimization
Operational Risk Reporting
Decision and Dynamic Management
Summary
References

Concluding Remarks