Operational risk : a guide to Basel II capital requirements, by Anna S. Chernobai

By Anna S. Chernobai

Whereas operational possibility has lengthy been considered as a trifling a part of "other" risks--outside the area of credits and industry risk--it has fast made its technique to the leading edge of finance. in reality, with implementation of the Basel II Capital Accord already underway, many fiscal professionals--as good as these getting ready to go into this field--must now get to grips with a number of matters on the topic of operational danger modeling and administration.

Written by way of the skilled crew of Anna Chernobai, Svetlozar Rachev, and Frank Fabozzi, Operational Risk will introduce you to the foremost suggestions linked to this self-discipline. jam-packed with in-depth insights, professional suggestion, and leading edge study, this complete consultant not just offers you with an considerable quantity of data concerning operational possibility, however it additionally walks you thru a wide range of examples that might solidify your realizing of the problems discussed.

Topics coated include:

  • The major demanding situations that exist in modeling operational risk.
  • The number of methods used to version operational losses.
  • Value-at-Risk and its position in quantifying and coping with operational risk.
  • The 3 pillars of the Basel II Capital Accord.
  • And a lot more.

Show description

Read Online or Download Operational risk : a guide to Basel II capital requirements, models, and analysis PDF

Best risk management books

Financial Risk Manager Handbook

I've got used this publication as a textual content for a graduate point monetary danger administration path, in practise for the GARP FRM examination (which I passed), and as a reference professionally. The instruction manual provides precisely what it says it is going to, and serves as a great primer earlier than moving into the heavier, extra special assigned readings (this isn't an assigned interpreting for the FRM examination, brain you).

COSO Enterprise Risk Management: Understanding the New Integrated ERM Framework

Compliment for COSO company danger Management"COSO ERM is a considerate advent to the demanding situations of probability administration on the company point and encompasses a wealth of knowledge on facing it by using the COSO framework. distinct approaches protecting a wide selection of occasions are by means of a radical rationalization of the way each one is deployed.

Handbook of Explosion Prevention and Protection

Among them, the popular workforce of editors and authors have accrued unprecedented event at such institutes as BAM, PTB, Pittsburgh nationwide Institute for Occupational health and wellbeing and defense, BASF AG, and the college of Göttingen. during this work-the first of its sort for 35 years-they describe intimately these measures that hinder or restrict commercial explosions and the wear so triggered.

The Doom Loop in the Financial Sector: And Other Black Holes of Risk

Long ago years, the area has skilled how unsound financial practices can disrupt worldwide fiscal and social order. Today’s risky worldwide monetary scenario highlights the significance of handling threat and the results of bad selection making. The Doom Loop within the monetary area unearths an underlying paradox of danger administration: the higher we turn into at assessing hazards, the extra we consider cozy taking them.

Additional resources for Operational risk : a guide to Basel II capital requirements, models, and analysis

Example text

Internal versus External Operational Losses Operational losses can be internally inflicted or can result from external sources. Internally inflicted sources include most of the losses caused by human, process, and technology failures, such as those due to human errors, internal fraud, unauthorized trading, injuries, business delays due to computer failures or telecommunication problems. External sources include man-made incidents such as external fraud, theft, computer hacking, terrorist activities, and natural disasters such as damage to physical assets due to hurricanes, floods, and fires.

11 OPERATIONAL RISK EXPOSURE INDICATORS The probability of an operational risk event occurring increases with a larger number of personnel (due to increased possibility of committing an error) and with a greater transaction volume. The following are examples of operational risk exposure indicators include:12 ■ ■ ■ ■ ■ ■ ■ ■ ■ ■ Gross income Volume of trades or new deals Value of assets under management Value of transactions Number of transactions Number of employees Employees’ years of experience Capital structure (debt-to-equity ratio) Historical operational losses Historical insurance claims for operational losses For example, larger banks are more likely to have larger operational losses.

4. They are not applicable for large and internationally active banks. To qualify for the TSA or ASA, banks must be able to map their business activities into the business lines. Banks adopting the approach must be actively involved in monitoring and controlling the bank’s operational risk profile and its changes. 16 The Advanced Measurement Approaches In the advanced measurement approaches (AMA), banks may use their own method for assessing their exposure to operational risk, as long as it is sufficiently comprehensive and systematic.

Download PDF sample

Rated 4.63 of 5 – based on 36 votes