Gregoriou Operational Risk Toward Basel III

Best Practices and Issues in Modeling, Management, and Regulation
1. Auflage 2009
ISBN: 978-0-470-45188-5
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 528 Seiten, E-Book

Reihe: Wiley Finance Editions

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.

Autoren/Hrsg.

Gregoriou, Greg N.

Inhaltsverzeichnis

Foreword.
About the Editor.
Acknowledgments.
About the Contributors.
PART ONE: Operational Risk Measurement: QualitativeApproaches.
CHAPTER 1: Modeling Operational Risk Based on MultipleExperts' Opinions (Jean-Philippe Peters and GeorgesHübner).
CHAPTER 2: Consistent Quantitative Operational Risk Measurement(Andreas A. Jobst).
CHAPTER 3: Operational Risk Based on Complementary LossEvaluations (Andrea Giacomelli and Loriana Pelizzon).
CHAPTER 4: Can Operational Risk Models Deal with UnprecedentedLarge Banking Losses? (Duc Pham-Hi).
CHAPTER 5: Identifying and Mitigating Perceived Risks in theBank Service Chain: A New Formalization Effort to Address theIntangible and Heterogeneous Natures of Knowledge-Based Services(Magali Dubosson and Emmanuel Fragnière).
CHAPTER 6: Operational Risk and Stock Market Returns: Evidencefrom Turkey (M. Nihat Solako& #287;lu and K. AhmetKöse).
PART TWO: Operational Risk Measurement: QuantitativeApproaches.
CHAPTER 7: Integrating Op Risk into Total VaR (Niklas Wagnerand Thomas Wenger).
CHAPTER 8: Importance Sampling Techniques for Large QuantileEstimation in the Advanced Measurement Approach (Marco Bee andGiuseppe Espa).
CHAPTER 9: One-Sided Cross-Validation for Density Estimationwith an Application to Operational Risk (María DoloresMartínez Miranda, Jens Perch Nielsen, and Stefan A.Sperlich).
CHAPTER 10: Multivariate Models for Operational Risk: A CopulaApproach Using Extreme Value Theory and Poisson Shock Models(Omar Rachedi and Dean Fantazzini).
CHAPTER 11: First-Order Approximations to Operational Risk:Dependence and Consequences (Klaus Böcker and ClaudiaKlüppelberg).
PART THREE: Operational Risk Management andMitigation.
CHAPTER 12: Integrating "Management" into "OpRisk Management"(Wilhelm K. Kross).
CHAPTER 13: Operational Risk Management: An Emergent Industry(Kimberly D. Krawiec).
CHAPTER 14: OpRisk Insurance as a Net Value Generator(Wilhelm K. Kross and Werner Gleissner).
CHAPTER 15: Operational Risk Versus Capital Requirements underNew Italian Banking Capital Regulation: Are Small Banks Penalized?(Simona Cosma, Giampaolo Gabbi, and GianfaustoSalvadori).
CHAPTER 16: Simple Measures for Operational Risk Reduction? AnAssessment of Implications and Drawbacks (Silke N. Brandts andNicole Branger).
PART FOUR: Issues in Operational Risk Regulation andthe Fund Industry.
CHAPTER 17: Toward an Economic and Regulatory BenchmarkingIndicator for Banking Systems (John L. Simpson, John Evans, andJennifer Westaway).
CHAPTER 18: Operational Risk Disclosure in Financial ServicesFirms (Guy Ford, Maike Sundmacher, Nigel Finch, and Tyrone M.Carlin).
CHAPTER 19: Operational Risks in Payment and SecuritiesSettlement Systems: A Challenge for Operators and Regulators(Daniela Russo and Pietro Stecconi).
CHAPTER 20: Actual and Potential Use of Unregulated FinancialInstitutions for Transnational Crime (Carolyn VernitaCurrie).
CHAPTER 21: Case Studies in Hedge Fund Operational Risks: FromAmaranth to Wood River (Keith H. Black).
CHAPTER 22: A Risk of Ruin Approach for Evaluating CommodityTrading Advisors (Greg N. Gregoriou and Fabrice DouglasRouah).
CHAPTER 23: Identifying and Mitigating Valuation Risk in HedgeFund Investments (Meredith A. Jones).
Index.

Über Autor(innen)

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.