Fundamental aspects of operational risk and insurance analytics a handbook of operational risk
Title Page; Copyright Page; Contents; Preface; Acronyms; List of Distributions; Chapter One OpRisk in Perspective; 1.1 Brief History; 1.2 Risk-Based Capital Ratios for Banks; 1.3 The Basic Indicator and Standardized Approaches for OpRisk; 1.4 The Advanced Measurement Approach; 1.4.1 Internal Measure...
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| Format: | UnknownFormat |
| Sprache: | eng |
| Veröffentlicht: |
Hoboken, NJ
Wiley
2015
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| Schriftenreihe: | Wiley handbooks in financial engineering and econometrics
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| Online Zugang: | Inhaltstext Cover |
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| Zusammenfassung: | Title Page; Copyright Page; Contents; Preface; Acronyms; List of Distributions; Chapter One OpRisk in Perspective; 1.1 Brief History; 1.2 Risk-Based Capital Ratios for Banks; 1.3 The Basic Indicator and Standardized Approaches for OpRisk; 1.4 The Advanced Measurement Approach; 1.4.1 Internal Measurement Approach; 1.4.2 Score Card Approach; 1.4.3 Loss Distribution Approach; 1.4.4 Requirements for AMA; 1.5 General Remarks and Book Structure; Chapter Two OpRisk Data and Governance; 2.1 Introduction; 2.2 OpRisk Taxonomy; 2.2.1 Execution, Delivery, and Process Management 2.2.2 Clients, Products, and Business Practices2.2.3 Business Disruption and System Failures; 2.2.4 External Frauds; 2.2.5 Internal Fraud; 2.2.6 Employment Practices and Workplace Safety; 2.2.7 Damage to Physical Assets; 2.3 The Elements of the OpRisk Framework; 2.3.1 Internal Loss Data; 2.3.2 Setting a Collection Threshold and Possible Impacts; 2.3.3 Completeness of Database (Under-reporting Events); 2.3.4 Recoveries and Near Misses; 2.3.5 Time Period for Resolution of Operational Losses; 2.3.6 Adding Costs to Losses; 2.3.7 Provisioning Treatment of Expected Operational Losses 2.4 Business Environment and Internal Control Environment Factors (BEICFs)2.4.1 Risk Control Self-Assessment (RCSA); 2.4.2 Key Risk Indicators; 2.5 External Databases; 2.6 Scenario Analysis; 2.7 OpRisk Profile in Different Financial Sectors; 2.7.1 Trading and Sales; 2.7.2 Corporate Finance; 2.7.3 Retail Banking; 2.7.4 Insurance; 2.7.5 Asset Management; 2.7.6 Retail Brokerage; 2.8 Risk Organization and Governance; 2.8.1 Organization of Risk Departments; 2.8.2 Structuring a Firm Wide Policy: Example of an OpRisk Policy; 2.8.3 Governance; Chapter Three Using OpRisk Data for Business Analysis 3.1 Cost Reduction Programs in Financial Firms3.2 Using OpRisk Data to Perform Business Analysis; 3.2.1 The Risk of Losing Key Talents: OpRisk in Human Resources; 3.2.2 OpRisk in Systems Development and Transaction Processing; 3.3 Conclusions; Chapter Four Stress-Testing OpRisk Capital and the Comprehensive Capital Analysis and Review (CCAR); 4.1 The Need for Stressing OpRisk Capital Even Beyond 99.9%; 4.2 Comprehensive Capital Review and Analysis (CCAR); 4.3 OpRisk and Stress Tests; 4.4 OpRisk in CCAR in Practice; 4.5 Reverse Stress Test 4.6 Stressing OpRisk Multivariate Models-Understanding the Relationship Among Internal Control Factors and Their Impact on OperationChapter Five Basic Probability Concepts in Loss Distribution Approach; 5.1 Loss Distribution Approach; 5.2 Quantiles and Moments; 5.3 Frequency Distributions; 5.4 Severity Distributions; 5.4.1 Simple Parametric Distributions; 5.4.2 Truncated Distributions; 5.4.3 Mixture and Spliced Distributions; 5.5 Convolutions and Characteristic Functions; 5.6 Extreme Value Theory; 5.6.1 EVT-Block Maxima; 5.6.2 EVT-Random Number of Losses; 5.6.3 EVT-Threshold Exceedances Chapter Six Risk Measures and Capital Allocation "Systematically displays all of the financial engineering topics, theories, applications, and current statistical methodologies that are intrinsic to the quantification of operational risk"-- "Co-edited by acknowledged experts in the quantification of operational risk, Handbook of Operational Risk conveniently and systematically displays all of the financial engineering topics, theories, applications, and current statistical methodologies that are intrinsic to the subject matter. This one-stop guide for financial engineers, quantitative analysts, and risk managers places under one cover all of the necessary theory, applications, and models that are inherent in any discussion of the subject. The authors emphasize the importance of collecting high-quality data based upon understanding the problems that impede the gathering process"-- A one-stop guide for the theories, applications, andstatistical methodologies essential to operational risk Providing a complete overview of operational risk modeling andrelevant insurance analytics, Fundamental Aspects of OperationalRisk and Insurance Analytics: A Handbook of Operational Riskoffers a systematic approach that covers the wide range of topicsin this area. Written by a team of leading experts in the field,the handbook presents detailed coverage of the theories,applications, and models inherent in any discussion of thefundamentals of operational risk, with a primary focus on BaselII/III regulation, modeling dependence, estimation of risk models,and modeling the data elements. Fundamental Aspects of Operational Risk and Insurance Analytics:A Handbook of Operational Riskbegins with coverage on the fourdata elements used in operational risk framework as well asprocessing risk taxonomy. The book then goes further in-depth intothe key topics in operational risk measurement and insurance, forexample diverse methods to estimate frequency and severity models.Finally, the book ends with sections on specific topics, such asscenario analysis; multifactor modeling; and dependence modeling. Aunique companion with Advances in Heavy Tailed Risk Modeling: AHandbook of Operational Risk, the handbook also features: Discussions on internal loss data and key risk indicators,which are both fundamental for developing a risk-sensitiveframeworkGuidelines for how operational risk can be inserted into afirm’s strategic decisionsA model for stress tests of operational risk under the UnitedStates Comprehensive Capital Analysis and Review (CCAR)programA valuable reference for financial engineers, quantitativeanalysts, risk managers, and large-scale consultancy groupsadvising banks on their internal systems, the handbook is alsouseful for academics teaching postgraduate courses on themethodology of operational risk. Marcelo G. Cruz, PhD, is Adjunct Professor at New York University and a world-renowned consultant on operational risk modeling and measurement. He has written and edited several books in operational risk, and is Founder and Editor-in-Chief of The Journal of Operational Risk. Gareth W. Peters, PhD, is Assistant Professor in the Department of Statistical Science, Principle Investigator in Computational Statistics and Machine Learning, and Academic Member of the UK PhD Centre of Financial Computing at University College London. He is also Adjunct Scientist in the Commonwealth Scientific and Industrial Research Organisation, Australia; Associate Member Oxford-Man Institute at the Oxford University; and Associate Member in the Systemic Risk Centre at the London School of Economics. Pavel V. Shevchenko, PhD, is Senior Principal Research Scientist in the Commonwealth Scientific and Industrial Research Organisation, Australia, as well as Adjunct Professor at the University of New South Wales and the University of Technology, Sydney. He is also Associate Editor of The Journal of Operational Risk. He works on research and consulting projects in the area of financial risk and the development of relevant numerical methods and software, has published extensively in academic journals, consults for major financial institutions, and frequently presents at industry and academic conferences. |
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| Beschreibung: | Literaturverz. S. 851 - 891 |
| Beschreibung: | XXII, 899 S., [80] Bl. Ill., graph. Darst. 25 cm x 15 cm |
| ISBN: | 1118118391 1-118-11839-1 9781118118399 978-1-118-11839-9 |